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Author/Editor:
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Jang, B. ; Kataoka, Masahiko
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Publication Date:
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January 11, 2013
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Electronic Access:
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Free Full text
(PDF file size is 1,694KB).
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.
The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
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Summary:
The paper finds that, given New Zealand’s conservative approach in implementing the Basel II framework, New Zealand banks’ headline capital ratios underestimate their capital strength. A comparison with Canadian, UK and Australian banks highlights the impact of New Zealand’s more conservative approach. Stress tests in the paper show that four large New Zealand banks could withstand sizable stand-alone shocks to their exposure to either residential mortgages (calibrated on the Irish crisis experience) or corporate lending. However, combined shocks to both residential mortgages and corporate lending would put more pressure on the banks’ capital. Given high bank concentration and large offshore wholesale funding needs, the merits of higher minimum capital requirements for systemically important domestic banks could be considered, together with other measures to be implemented.
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Order a print copy
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Series:
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Working Paper No. 13/7
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Subject(s):
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Banks | New Zealand | Capital | Stress testing
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English
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Publication Date:
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January 11, 2013
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ISBN/ISSN:
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9781475561371/2227-8885
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Format:
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Paper
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Stock No:
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WPIEA2013007
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Pages:
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23
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Price:
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US$18.00 )
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Please address any questions about this title to
publications@imf.org
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