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Systemic Risk Monitor: A Model for Systemic Risk Analysis and Stress Testing of Banking Systems

Author

Listed:
  • Michael Boss

    (Oesterreichische Nationalbank)

  • Gerald Krenn

    (Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division)

  • Claus Puhr

    (Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division)

  • Martin Summer

    (Oesterreichische Nationalbank, Economic Studies Division)

Abstract

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.

Suggested Citation

  • Michael Boss & Gerald Krenn & Claus Puhr & Martin Summer, 2006. "Systemic Risk Monitor: A Model for Systemic Risk Analysis and Stress Testing of Banking Systems," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 11, pages 83-95.
    • Handle: RePEc:onb:oenbfs:y:2006:i:11:b:2
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    File URL: https://www.oenb.at/dam/jcr:e3849a11-ca00-4060-ae0c-cf5e873824b7/fsr_11_special_topics_02_tcm16-43720.pdf
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    References listed on IDEAS

    as
    1. 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.
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    More about this item

    Keywords

    Stress Testing; Banks; Financial Stability;
    All these keywords.

    JEL classification:

    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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