Search Results - subject:"Probability of default"

Innovation in Banking and Excessive Loan Growth

International Monetary Fund (IMF); International … - 2008

The volume of credit extended by a bank can be an informative signal of its abilities in loan selection and management. It is shown that, under asymmetric information, banks may therefore rationally lend more than they would otherwise in order to demonstrate their quality, thus negatively...

Persistent link: https://www.econbiz.de/10005264102

Stress testing of probability of default of individuals

Kadeřábek, Petr; Slabý, Aleš; Vodička, Josef - 2008

This paper introduces a model for stress testing of probability of default of individuals. The model rests on … assumption that the individual defaults if his savings fall below zero. The probability of default is then described as a … applying exogenous stress scenarios for development of these indicators. The model implies that sensitivity of probability of …

Persistent link: https://www.econbiz.de/10010322243

Stress testing credit risk: a survey of authorities' approaches

Foglia, Antonella - Banca d'Italia - 2008

This paper reviews the quantitative methods used at selected central banks to stress testing credit risk, focusing in particular on the methods used to link macroeconomic drivers of stress with bank specific measures of credit risk (macro stress test). Stress testing credit risk is an essential...

Persistent link: https://www.econbiz.de/10005113691

Optimization Heuristics for Determining Internal Rating Grading Scales

Lyra, Marianna; Paha, Johannes; Paterlini, Sandra; … - COMISEF - 2008

Basel II imposes regulatory capital on banks related to the default risk of their credit portfolio. Banks using an internal rating approach compute the regulatory capital from pooled probabilities of default. These pooled probabilities can be calculated by clustering credit borrowers into...

Persistent link: https://www.econbiz.de/10008460561

Austria; Financial Sector Assessment Program Technical Note: Stress Testing and Short-Term Vulnerabilities

International Monetary Fund (IMF); International … - 2008

This technical note focuses on the Austrian banking system that exhibits considerable resilience against shocks determined by stress tests. The main sources of risk lie in the credit risk arising from exposures to Central, Eastern, and Southeastern Europe (CESE) and the Commonwealth of...

Persistent link: https://www.econbiz.de/10011242521

Iceland; Financial System Stability Assessment: Update

International Monetary Fund (IMF); International … - 2008

This paper presents an update on Icelandâ€™s Financial System Stability Assessment. Liquidity ratios, while high, now depend more than before on access to central banksâ€™ liquidity facilities because of the turmoil in global markets, and any reduction in such access would require...

Persistent link: https://www.econbiz.de/10011242584

Euro Area Policies; Selected Issues

International Monetary Fund (IMF); International … - 2008

This Selected Issues paper analyzes euro area policies and discusses the implications of the 2007â€“08 financial sector turbulence for real economic activity. It examines the linkages between the financial and real sectors in the euro area. The paper discusses the European Central...

Persistent link: https://www.econbiz.de/10011243237

Republic of Lithuania; Financial System Stability Assessment: Update

International Monetary Fund (IMF); International … - 2008

Lithuaniaâ€™s catch-up toward the European average has been impressive. This success has been coupled with the emergence of macroeconomic imbalances. The dominance of foreign-owned banks in the banking system constitutes both a source of strength and risk. Although stress tests indicate...

Persistent link: https://www.econbiz.de/10011243521

Singapore; Selected Issues

International Monetary Fund (IMF); International … - 2008

This Selected Issues paper assesses the stability of Singaporeâ€™s banking system in a regional context. It proposes a novel methodology for gauging domestic financial stability. The paper assesses the impact of fiscal measures on macroeconomic activity, and analyzes the effects of monetary...

Persistent link: https://www.econbiz.de/10011245672

Macroeconomic Implications of Financial Dollarization; The Case of Uruguay

Gelos, Gaston; Mejía, Alejandro López; Piñón-Farah, … - International Monetary Fund (IMF) - 2008

Uruguay has experienced a remarkable recovery since the 2002 crisis, supported by sound policies and favorable external conditions. With the framework put in place in 2002, Uruguay abandoned an exchange rate peg in favor of a free float, adoped a monetary regime initially based on money targets,...

Persistent link: https://www.econbiz.de/10011245904