{
  "title": "From Stress to Costress: Stress Testing Interconnected Banking Systems",
  "publication": "IMF Working Papers, February 1, 2012",
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  "summary": "This paper presents an integrated framework for assessing systemic risk. The framework models banks’ capital asset ratios as a function of future losses and credit growth using a generalized method of moments to calibrate shocks to credit quality and credit growth.",
  "sections": [
    {
      "heading": "Framework and purpose",
      "content": "- Presents an integrated framework for assessing systemic risk in banking systems.\n- Models banks’ capital asset ratios as a function of future losses and credit growth.\n- Main contribution: advances a simple framework to integrate systemic risk scenarios that assess the impact of aggregate and idiosyncratic factors."
    },
    {
      "heading": "Methodology and model components",
      "content": "- Uses a generalized method of moments to calibrate shocks to credit quality and credit growth.\n- Analysis is based on CreditRisk+, which:\n  - uses analytical techniques similar to those applied in the insurance industry;\n  - estimates banks’ credit portfolio loss distributions;\n  - makes no assumptions about the cause of default.\n- Complemented by a simple measure of systemic risk that captures tail risk comovement among banks in the system."
    },
    {
      "heading": "Key findings and analytical features",
      "content": "- Emphasizes integration of aggregate and idiosyncratic factors in systemic stress scenarios.\n- Focus on modeling the interaction between credit growth, credit quality, and capital asset ratios.\n- Introduces a marginal contribution to systemic risk perspective (term appears in Keywords)."
    },
    {
      "heading": "Policy relevance and applications",
      "content": "- Framework supports stress testing that incorporates interconnectedness and comovement in tail risks.\n- Designed to inform financial regulation and supervision, financial sector policy and analysis, and stress testing practice.\n- Relevant subject areas: Banking, Credit, Credit risk, Financial institutions, Financial regulation and supervision, Financial sector policy and analysis, Money, Nonperforming loans, Stress testing, Systemic risk."
    },
    {
      "heading": "Publication and metadata",
      "content": "- Authors: Rodolfo Maino, Kalin I Tintchev\n- Date: February 1, 2012\n- Series: Working Paper No. 2012/053\n- Issue: 053\n- Volume: 2012\n- Pages: 34\n- DOI: https://doi.org/10.5089/9781475502220.001\n- Stock No: WPIEA2012053\n- ISBN: 9781475502220\n- ISSN: 1018-5941\n\nSource: From Stress to Costress: Stress Testing Interconnected Banking Systems, IMF Working Paper No. 2012/053.\n\n---\n\n Content in this bundle\n\n- PDP-Working Paper\n  - PDP-Working Paper (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - PDP-Working Paper (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/from-stress-to-costress-stress-testing-interconnected-banking-systems-25734"
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    "Authors: Rodolfo Maino, Kalin I Tintchev",
    "Published: February 1, 2012",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781475502220.001",
    "Presents an integrated framework for assessing systemic risk in banking systems.",
    "Models banks’ capital asset ratios as a function of future losses and credit growth.",
    "Main contribution: advances a simple framework to integrate systemic risk scenarios that assess the impact of aggregate and idiosyncratic factors.",
    "Uses a generalized method of moments to calibrate shocks to credit quality and credit growth.",
    "Analysis is based on CreditRisk+, which:",
    "Complemented by a simple measure of systemic risk that captures tail risk comovement among banks in the system.",
    "Emphasizes integration of aggregate and idiosyncratic factors in systemic stress scenarios.",
    "Focus on modeling the interaction between credit growth, credit quality, and capital asset ratios.",
    "Introduces a marginal contribution to systemic risk perspective (term appears in Keywords).",
    "Framework supports stress testing that incorporates interconnectedness and comovement in tail risks.",
    "Designed to inform financial regulation and supervision, financial sector policy and analysis, and stress testing practice.",
    "Relevant subject areas: Banking, Credit, Credit risk, Financial institutions, Financial regulation and supervision, Financial sector policy and analysis, Money, Nonperforming loans, Stress testing, Systemic risk.",
    "Authors: Rodolfo Maino, Kalin I Tintchev",
    "Date: February 1, 2012",
    "Series: Working Paper No. 2012/053",
    "Issue: 053",
    "Volume: 2012",
    "Pages: 34",
    "DOI: https://doi.org/10.5089/9781475502220.001",
    "Stock No: WPIEA2012053",
    "ISBN: 9781475502220",
    "ISSN: 1018-5941",
    "**PDP-Working Paper**"
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