France : financial sector assessment program ; technical note on stress testing the banking sector

Online-Ressource (70 S.)

graph. Darst.

IMF country report. - Washington, DC : IMF, ZDB-ID 2390611-X. - Vol. 13/185

Includes bibliographical references

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Cover; Contents; Glossary; Executive Summary; I. Introduction; Figures; 1. Banking Sector Market Shares, 2011; Tables; 1. Main Recommendations on Stress Testing; II. Solvency Stress Tests; 2. Solvency Measures Under Stress; 3. Macroeconomic Variables Under the Scenarios Used for the Solvency Tests; 4. Phase out of AFS Regulatory Filter in the Stress Test Horizon; 2. Bank Solvency Stress Test Results, CET1 Ratios; III. Liquidity Stress Tests; IV. Contagion Risk; 5. Bank Liquidity Stress Test Results; V. Conclusion and Recommendations; 3. Interbank Network of French Banks, December 2011

ReferencesAppendices; I. Stress Test Matrix: Solvency, Liquidity, and Contagion Risks; II. Sample Shocks to Sovereign Yields; III. Risk Assessment Matrix; IV. Liquidity Stress Test Parameters; V. Top-Down Satellite Models; VI. Guidelines for Stress Testing French Banks; Appendix Tables; 1. Key Exogenous Macroeconomic Variables in the Baseline Scenario; 2. Key Exogenous Macroeconomic Indicators in the Baseline and the Adverse Scenarios; 3. Baseline and Adverse Scenario: Key Macroeconomic Indicators; 4. Solvency Measures Under Stress; 5. Sample of Shocks to Sovereign Yields; 6. Output Tables

VII. Capital DefinitionVIII. Defaulted Assets Flow (A-IRB Portfolios and Standardized); Appendix Boxes; 1. Estimation of Defaulted Assets Flows: Examples for 2012 and 2013; IX. Loan Losses; 2. Impairment Flows on new Defaulted Assets: Examples for 2012 and 2013; X. RWA/Credit Risk without Securitization Positions; 3. IRB Excess/Shortfall for Old Defaulted Assets: Examples for 2012 and 2013

Electronic reproduction; Available via World Wide Web

10.5089/9781616358556.002 [DOI]

ECONIS - Online Catalogue of the ZBW