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

_IMF Staff Country Reports, September 16, 2011_

## Source details

**Canonical URL:** [Sweden: Financial Sector Assessment Program Update: Technical Note on Contingent Claims Analysis Approach to Measure Risk and Stress Test the Swedish Banking Sector](https://www.imf.org/en/publications/cr/issues/2016/12/31/sweden-financial-sector-assessment-program-update-technical-note-on-contingent-claims-25241)

## Other formats

- [Markdown version](/en/publications/cr/issues/2016/12/31/sweden-financial-sector-assessment-program-update-technical-note-on-contingent-claims-25241/index.md)
- [Structured JSON version](/en/publications/cr/issues/2016/12/31/sweden-financial-sector-assessment-program-update-technical-note-on-contingent-claims-25241/index.json)
- [Bundle manifest](/en/publications/cr/issues/2016/12/31/sweden-financial-sector-assessment-program-update-technical-note-on-contingent-claims-25241/bundle-manifest.json)

## Bibliographic details
- Published: September 16, 2011
- Series: IMF Staff Country Reports
- DOI: https://doi.org/10.5089/9781463903572.002

---

### Summary and purpose
- 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.

### Methodology
- 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.

### Main findings
- 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.

### Policy implications and recommendations
- 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.

---

## Content in this bundle

- **Cr11286**
  - [Cr11286 (Markdown version)](/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/scr/2011/_cr11286.pdf.md){rel="alternate" type="text/markdown"}
  - [Cr11286 (PDF)](/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/scr/2011/_cr11286.pdf){rel="external" type="application/pdf"}

---

_Source: https://www.imf.org/en/publications/cr/issues/2016/12/31/sweden-financial-sector-assessment-program-update-technical-note-on-contingent-claims-25241_