Sweden: Financial Sector Assessment Program Update: Technical Note on Contingent Claims Analysis Approach to Measure Risk and Stress Test the Swedish Banking Sector

September 16, 2011

Preview Citation

Format: Chicago

Sweden: Financial Sector Assessment Program Update: Technical Note on Contingent Claims Analysis Approach to Measure Risk and Stress Test the Swedish Banking Sector, (USA: International Monetary Fund, 2011) accessed November 22, 2024

Summary

This paper describes the application of contingent claims analysis (CCA) and systemic CCA to the top four commercial banks in Sweden. The balance sheet stress tests for four major banks were complemented with tests based on the CCA framework, a risk-adjusted balance sheet relating bank asset values to equity value, default risk, and bank funding costs. Even though the results show that banks are found to be resilient to shocks, more work on systemic risk models could help analyze systemic risk under stress scenarios.

Subject: Banking, Capital adequacy requirements, Financial institutions, Financial markets, Financial regulation and supervision, Financial sector policy and analysis, Financial statements, Public financial management (PFM), Stock markets, Stocks, Stress testing

Keywords: Accounting balance sheet, Asset, Balance sheet, Bank, Bank assets, Bank-asset volatility, Capital adequacy requirements, CCA balance sheets, CCA model, Contingent claims analysis, CR, Financial statements, Global, ISCR, Loss, Stock markets, Stocks, Stress testing

Publication Details

Pages:

33
Volume:

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DOI:

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Issue:

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Series:

Country Report No. 2011/286
Stock No:

1SWEEA2011009
ISBN:

9781463903572
ISSN:

1934-7685

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