Thailand: Financial Sector Assessment Program-Technical Note-Risk Assessment

October 24, 2019

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Thailand: Financial Sector Assessment Program-Technical Note-Risk Assessment, (USA: International Monetary Fund, 2019) accessed December 21, 2024

Summary

This technical note on the risk assessment for Thailand discusses that the Thai banking system shows a substantial resilience to severe shocks. The solvency stress tests indicate that the largest banks can withstand an adverse scenario broadly as severe as the Asian financial crisis. While three banks would deplete their capital conservation buffer (CCB) under the adverse scenario, recapitalization needs would be minimal. A battery of complementary sensitivity stress tests, which allows to cover in more detail certain risk factors, also confirmed the overall picture of a resilient baking system: no particular vulnerability emerged from the analysis of the bond portfolio to an increase in government and corporate spreads, exposure to foreign exchange risk, and concentration risk in the loan portfolio, with the possible exception of one entity with a particular concentration on single-name exposures. The liquidity stress test on investment funds (IFs) showed that they would be able to withstand a severe redemption shock and its impact on the banks and the bond market would be limited.

Subject: Banking, Commercial banks, Currencies, Financial institutions, Financial regulation and supervision, Financial sector policy and analysis, Liquidity requirements, Money, Mutual funds, Stress testing

Keywords: Banking sector, Central bank, Commercial banks, CR, Currencies, Fixed income, Foreign exchange, Fund family, Global, Interest rate, Investment funds, ISCR, Liquid asset, Liquidity requirements, Mutual fund, Mutual funds, Sensitivity analysis, Stress testing

Publication Details

Pages:

76
Volume:

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DOI:

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Issue:

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Series:

Country Report No. 2019/318
Stock No:

1THAEA2019003
ISBN:

9781513517544
ISSN:

1934-7685

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