Rules of Thumb for Bank Solvency Stress Testing
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Summary:
Rules of thumb can be useful in undertaking quick, robust, and readily interpretable bank stress tests. Such rules of thumb are proposed for the behavior of banks’ capital ratios and key drivers thereof—primarily credit losses, income, credit growth, and risk weights—in advanced and emerging economies, under more or less severe stress conditions. The proposed rules imply disproportionate responses to large shocks, and can be used to quantify the cyclical behaviour of capital ratios under various regulatory approaches.
Series:
Working Paper No. 2013/232
Subject:
Banking Capital adequacy requirements Credit Credit ratings Financial regulation and supervision Financial sector policy and analysis Money National accounts Personal income Stress testing
English
Publication Date:
November 11, 2013
ISBN/ISSN:
9781475518115/1018-5941
Stock No:
WPIEA2013232
Pages:
67
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