## From Stress to Costress: Stress Testing Interconnected Banking Systems

_IMF Working Papers, February 1, 2012_

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## Bibliographic details
- Authors: Rodolfo Maino, Kalin I Tintchev
- Published: February 1, 2012
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781475502220.001

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### Framework and purpose
- 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.

### Methodology and model components
- Uses a generalized method of moments to calibrate shocks to credit quality and credit growth.
- Analysis is based on CreditRisk+, which:
  - uses analytical techniques similar to those applied in the insurance industry;
  - estimates banks’ credit portfolio loss distributions;
  - makes no assumptions about the cause of default.
- Complemented by a simple measure of systemic risk that captures tail risk comovement among banks in the system.

### Key findings and analytical features
- 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).

### Policy relevance and applications
- 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.

### Publication and metadata
- 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

*Source: From Stress to Costress: Stress Testing Interconnected Banking Systems, IMF Working Paper No. 2012/053.*

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_Source: https://www.imf.org/en/publications/wp/issues/2016/12/31/from-stress-to-costress-stress-testing-interconnected-banking-systems-25734_