{
  "title": "Sweden: Financial Sector Assessment Program Update: Technical Note on Contingent Claims Analysis Approach to Measure Risk and Stress Test the Swedish Banking Sector",
  "publication": "IMF Staff Country Reports, September 16, 2011",
  "sourceUrl": "https://www.imf.org/en/publications/cr/issues/2016/12/31/sweden-financial-sector-assessment-program-update-technical-note-on-contingent-claims-25241",
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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.",
  "publishDate": "2011-09-16",
  "series": "IMF Staff Country Reports",
  "sections": [
    {
      "heading": "Summary and purpose",
      "content": "- Describes the application of contingent claims analysis (CCA) and systemic CCA to the top four commercial banks in Sweden.\n- Complements balance sheet stress tests for four major banks 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.\n- Concludes that banks are found to be resilient to shocks, while noting that more work on systemic risk models could help analyze systemic risk under stress scenarios."
    },
    {
      "heading": "Methodology",
      "content": "- Uses contingent claims analysis (CCA) and systemic CCA applied to the top four commercial banks in Sweden.\n- Constructs a risk-adjusted balance sheet that links bank asset values to equity value, default risk, and bank funding costs.\n- Complements traditional balance sheet stress-testing approaches with CCA-based tests."
    },
    {
      "heading": "Main findings",
      "content": "- Banks are found to be resilient to shocks based on the CCA and systemic CCA assessments applied.\n- Despite resilience in results, the analysis highlights the need for further work on systemic risk models to better analyze systemic risk under stress scenarios."
    },
    {
      "heading": "Policy implications and recommendations",
      "content": "- Strengthen development and application of systemic risk models to analyze banking-sector vulnerabilities under stress scenarios.\n- Use CCA and systemic CCA as complementary tools alongside balance sheet stress tests to capture market-based measures of default risk and funding costs.\n\n---\n\n Content in this bundle\n\n- Cr11286\n  - Cr11286 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Cr11286 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/cr/issues/2016/12/31/sweden-financial-sector-assessment-program-update-technical-note-on-contingent-claims-25241"
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    "Published: September 16, 2011",
    "Series: IMF Staff Country Reports",
    "DOI: https://doi.org/10.5089/9781463903572.002",
    "Describes the application of contingent claims analysis (CCA) and systemic CCA to the top four commercial banks in Sweden.",
    "Complements balance sheet stress tests for four major banks 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.",
    "Concludes that banks are found to be resilient to shocks, while noting that more work on systemic risk models could help analyze systemic risk under stress scenarios.",
    "Uses contingent claims analysis (CCA) and systemic CCA applied to the top four commercial banks in Sweden.",
    "Constructs a risk-adjusted balance sheet that links bank asset values to equity value, default risk, and bank funding costs.",
    "Complements traditional balance sheet stress-testing approaches with CCA-based tests.",
    "Banks are found to be resilient to shocks based on the CCA and systemic CCA assessments applied.",
    "Despite resilience in results, the analysis highlights the need for further work on systemic risk models to better analyze systemic risk under stress scenarios.",
    "Strengthen development and application of systemic risk models to analyze banking-sector vulnerabilities under stress scenarios.",
    "Use CCA and systemic CCA as complementary tools alongside balance sheet stress tests to capture market-based measures of default risk and funding costs.",
    "**Cr11286**"
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