Morocco: Financial Sector Assessment Program: Technical Note-Stress Testing the Banking System
IMF Staff Country Reports, November 4, 2016
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- Morocco: Financial Sector Assessment Program: Technical Note-Stress Testing the Banking System
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Bibliographic details
- Published: November 4, 2016
- Series: IMF Staff Country Reports
- DOI: https://doi.org/10.5089/9781475545975.002
Key findings
- The stress tests examined the resilience of the Moroccan banking system to solvency, liquidity, and contagion risks.
- Global liquidity stress tests revealed that most banks in the system would be exposed to liquidity risks in the event of large deposit withdrawals, under a more severe scenario than the Basel III Liquidity Coverage Ratio metrics, or depletion of unsecured wholesale funding.
- Banks were found to be less vulnerable to direct contagion risk through bilateral exposure.
- The contagion risk analysis revealed that the risks stemming from domestic interbank exposures are very limited.
Stress test scenarios and vulnerabilities
- Liquidity scenarios:
- Large deposit withdrawals.
- A scenario more severe than the Basel III Liquidity Coverage Ratio metrics.
- Depletion of unsecured wholesale funding.
- Solvency and credit risk:
- The tests assessed solvency and credit risk resilience (no specific numeric capital impacts provided in the summary).
- Contagion channels:
- Direct bilateral exposures assessed; results indicate limited vulnerability.
- Domestic interbank exposure channel assessed; contagion risks characterized as very limited.
Analytical emphasis
- Focus on system-wide resilience across three risk types: solvency, liquidity, and contagion.
- Emphasis on liquidity stress under scenarios that are more severe than standard Basel III LCR metrics and on reliance on unsecured wholesale funding.
Subjects and keywords (as listed)
- Subjects: Banking, Commercial banks, Credit risk, Financial institutions, Financial regulation and supervision, Financial sector policy and analysis, Insurance companies, Nonperforming loans, Stress testing
- Keywords: balance sheet size, banks in Morocco, capital ratio, central bank, Commercial banks, CR, credit risk, Credit risk, Europe, foreign currency, Global, hurdle rate, Insurance companies, interest income, ISCR, market value, Moroccan bank, Nonperforming loans, NPL ratio, parent bank, real interest rate, sensitivity analysis, standby liquidity inflow, stress test result, Stress testing
Content in this bundle
- Cr16329