From Stress to Costress
AbstractThis paper presents an integrated framework for assessing systemic risk. The framework models banksâ€™ 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. The analysis is complemented by a simple measure of systemic risk, which captures tail risk comovement among banks in the system. The main contribution of this paper is to advance a simple framework to integrate systemic risk scenarios that assess the impact of aggregate and idiosyncratic factors. The analysis is based on CreditRisk+, which uses analytical techniquesâ€”similar to those applied in the insurance industry - to estimate banksâ€™ credit portfolio loss distributions, making no assumptions about the cause of default.
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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 12/53.
Date of creation: 01 Feb 2012
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-03-21 (All new papers)
- NEP-BAN-2012-03-21 (Banking)
- NEP-CBA-2012-03-21 (Central Banking)
- NEP-FMK-2012-03-21 (Financial Markets)
- NEP-RMG-2012-03-21 (Risk Management)
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