{
  "title": "Next Generation Balance Sheet Stress Testing",
  "publication": "IMF Working Papers, April 1, 2011",
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  "summary": "This paper presents a \"second-generation\" solvency stress testing framework extending applied stress testing work centered on Cihák (2007). The framework seeks enriching stress tests in terms of risk-sensitivity, while keeping them flexible, transparent, and user-friendly.",
  "sections": [
    {
      "heading": "Framework overview",
      "content": "- Presents a \"second-generation\" solvency stress testing framework extending applied stress testing work centered on Cihák (2007).\n- Seeks to enrich stress tests in terms of risk-sensitivity, while keeping them flexible, transparent, and user-friendly.\n- Uses balance sheet data and is Excel-based with detailed guidance and documentation.\n- Allows stress testers to run multi-year scenarios (up to five years) for hundreds of banks, depending on the availability of data."
    },
    {
      "heading": "Main contributions and analytical enhancements",
      "content": "- Increases the risk-sensitivity of stress testing by capturing changes in risk-weighted assets (RWAs) under stress, including for non-internal ratings based (IRB) banks (through a quasi-IRB approach).\n- Provides stress testers with a comprehensive platform to:\n  - use satellite models;\n  - define various assumptions and scenarios.\n- Enables multi-year scenario analysis capability: up to five years for many banks."
    },
    {
      "heading": "Features and implementation",
      "content": "- Excel-based implementation intended to be user-friendly and transparent.\n- Detailed guidance and documentation accompany the framework.\n- Designed for broad applicability depending on data availability (hundreds of banks)."
    },
    {
      "heading": "Key statistics and publication metadata",
      "content": "- Authors: Christian Schmieder, Maher Hasan, Claus Puhr\n- Publication date: April 1, 2011\n- Series: Working Paper No. 2011/083\n- Issue: 083\n- Volume: 2011\n- Pages: 42\n- DOI: https://doi.org/10.5089/9781455226054.001\n- Stock No: WPIEA2011083\n- ISBN: 9781455226054\n- ISSN: 1018-5941\n- Subject: Banking, Credit, Credit risk, Personal income, Stress testing\n- Keywords: bank, income, IRB RWAs, WP"
    },
    {
      "heading": "Summary of substantive findings and capabilities",
      "content": "- Framework advances solvency stress testing by explicitly modeling RWA adjustments under stressed conditions.\n- Introduces a quasi-IRB approach to extend RWA sensitivity to non-IRB banks.\n- Supports use of auxiliary (\"satellite\") models to enrich scenario assumptions and transmission mechanisms.\n- Designed to be scalable (hundreds of banks) and to support up to five-year stress scenarios for multi-year solvency assessment.\n\nNext Generation Balance Sheet Stress Testing, Christian Schmieder, Maher Hasan, Claus Puhr, April 1, 2011, IMF Working Papers 2011/083.\n\n---\n\n Content in this bundle\n\n- How to do a Meaningful Stress Test as a non-IRB Bank?\n  - How to do a Meaningful Stress Test as a non-IRB Bank? (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - How to do a Meaningful Stress Test as a non-IRB Bank? (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/next-generation-balance-sheet-stress-testing-24798"
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    "Authors: Christian Schmieder, Maher Hasan, Claus Puhr",
    "Published: April 1, 2011",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781455226054.001",
    "Presents a \"second-generation\" solvency stress testing framework extending applied stress testing work centered on Cihák (2007).",
    "Seeks to enrich stress tests in terms of risk-sensitivity, while keeping them flexible, transparent, and user-friendly.",
    "Uses balance sheet data and is Excel-based with detailed guidance and documentation.",
    "Allows stress testers to run multi-year scenarios (up to five years) for hundreds of banks, depending on the availability of data.",
    "Increases the risk-sensitivity of stress testing by capturing changes in risk-weighted assets (RWAs) under stress, including for non-internal ratings based (IRB) banks (through a quasi-IRB approach).",
    "Provides stress testers with a comprehensive platform to:",
    "Enables multi-year scenario analysis capability: up to five years for many banks.",
    "Excel-based implementation intended to be user-friendly and transparent.",
    "Detailed guidance and documentation accompany the framework.",
    "Designed for broad applicability depending on data availability (hundreds of banks).",
    "Authors: Christian Schmieder, Maher Hasan, Claus Puhr",
    "Publication date: April 1, 2011",
    "Series: Working Paper No. 2011/083",
    "Issue: 083",
    "Volume: 2011",
    "Pages: 42",
    "DOI: https://doi.org/10.5089/9781455226054.001",
    "Stock No: WPIEA2011083",
    "ISBN: 9781455226054",
    "ISSN: 1018-5941",
    "Subject: Banking, Credit, Credit risk, Personal income, Stress testing",
    "Keywords: bank, income, IRB RWAs, WP",
    "Framework advances solvency stress testing by explicitly modeling RWA adjustments under stressed conditions.",
    "Introduces a quasi-IRB approach to extend RWA sensitivity to non-IRB banks.",
    "Supports use of auxiliary (\"satellite\") models to enrich scenario assumptions and transmission mechanisms.",
    "Designed to be scalable (hundreds of banks) and to support up to five-year stress scenarios for multi-year solvency assessment.",
    "**How to do a Meaningful Stress Test as a non-IRB Bank?**"
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