## Thailand: Financial Sector Assessment Program-Technical Note-Risk Assessment

_IMF Staff Country Reports, October 24, 2019_

## Source details

**Canonical URL:** [Thailand: Financial Sector Assessment Program-Technical Note-Risk Assessment](https://www.imf.org/en/publications/cr/issues/2019/10/24/thailand-financial-sector-assessment-program-technical-note-risk-assessment-48748)

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## Bibliographic details
- Published: October 24, 2019
- Series: IMF Staff Country Reports
- DOI: https://doi.org/10.5089/9781513517544.002

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### Summary findings
- The Thai banking system shows a substantial resilience to severe shocks.
- The solvency stress tests indicate that the largest banks can withstand an adverse scenario broadly as severe as the Asian financial crisis.
- While three banks would deplete their capital conservation buffer (CCB) under the adverse scenario, recapitalization needs would be minimal.
- A battery of complementary sensitivity stress tests confirmed the overall picture of a resilient banking system.
- No particular vulnerability emerged from:
  - the analysis of the bond portfolio to an increase in government and corporate spreads;
  - exposure to foreign exchange risk;
  - concentration risk in the loan portfolio, with the possible exception of one entity with a particular concentration on single-name exposures.

### Stress test results (solvency)
- Largest banks: able to withstand an adverse scenario broadly as severe as the Asian financial crisis.
- Three banks: would deplete their capital conservation buffer (CCB) under the adverse scenario.
- Recapitalization needs: would be minimal.

### Sensitivity analyses
- A battery of complementary sensitivity stress tests was used to cover in more detail certain risk factors.
- Results:
  - Bond portfolio: no particular vulnerability to an increase in government and corporate spreads.
  - Foreign exchange risk: no particular vulnerability identified.
  - Loan portfolio concentration: generally no particular vulnerability, except one entity with a concentration on single-name exposures.

### Liquidity stress test on investment funds (IFs)
- Investment funds (IFs): would be able to withstand a severe redemption shock.
- Impact: the impact on the banks and the bond market would be limited.

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_Source: https://www.imf.org/en/publications/cr/issues/2019/10/24/thailand-financial-sector-assessment-program-technical-note-risk-assessment-48748_