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

Publication Date: September 16, 2011

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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.
Series: IMF Staff Country Reports
Subject(s): Bank supervision | Banking sector | Credit risk | Financial Sector Assessment Program | Risk management

Publication Date: September 16, 2011
ISBN/ISSN: 9781463903572/1934-7685 Format: Paper
Stock No: 1SWEEA2011009 Pages: 33
US$18.00 (Academic Rate:
US$18.00 )
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