Systemic Risk Monitor: A Model for Systemic Risk Analysis and Stress Testing of Banking Systems
In 2002 the Oesterreichische Nationalbank (OeNB) launched in parallel several projects to develop modern tools for systemic financial stability analysis, off-site banking supervision and supervisory data analysis. In these projects the OeNB’s expertise in financial analysis and research was combined with expertise from the Austrian Financial Market Authority (FMA) and from academia. Systemic Risk Monitor (SRM) is part of this effort. SRM is a model to analyze banking supervision data and data from the Major Loans Register collected at the OeNB in an integrated quantitative risk management framework to assess systemic risk in the Austrian banking system at a quarterly frequency. SRM is also used to perform regular stress testing exercises. This paper gives an overview of the general ideas used by SRM and shows some of its applications to a recent Austrian dataset.
Volume (Year): (2006)
Issue (Month): 11 ()
|Contact details of provider:|| Postal: P.O. Box 61, A-1011 Vienna, Austria|
Phone: +43/1/404 20 3126
Fax: +43/1/404 20 3199
Web page: http://www.oenb.at
More information through EDIRC
|Order Information:|| Postal: Oesterreichische Nationalbank, Documentation Management and Communications Services, Otto-Wagner Platz 3, A-1090 Vienna, Austria|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Helmut Elsinger & Alfred Lehar & Martin Summer, 2006.
"Using Market Information for Banking System Risk Assessment,"
International Journal of Central Banking,
International Journal of Central Banking, vol. 2(1), March.
- Elsinger, Helmut & Lehar, Alfred & Summer, Martin, 2005. "Using Market Information for Banking System Risk Assessment," MPRA Paper 817, University Library of Munich, Germany.
When requesting a correction, please mention this item's handle: RePEc:onb:oenbfs:y:2006:i:11:b:2. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Stefan W. Schmitz)
If references are entirely missing, you can add them using this form.