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Stress-testing the Banking System
Stress tests are used in risk management by banks in order to determine how certain crisis scenarios would affect the value of their portfolios, and by public authorities for financial stability purposes. Until the first half of 2007, interest in stress-testing was largely restricted to practitioners. Since then, the global financial system has been hit by deep turbulences, including the fallout from sub-prime mortgage lending. Many observers have pointed out that the severity of the crisis has been largely due to its unexpected nature and have claimed that a more extensive use of stress-testing methodologies would have helped to alleviate the repercussions of the crisis. This book analyses the theoretical underpinnings, as well as the practical aspects, of applying such methodologies. Building on the experience gained by the economists of many national and international financial authorities, it provides an updated toolkit for both practitioners and academics.
Counterparty Credit Risk
The first decade of the 21st Century has been disastrous for financial institutions, derivatives and risk management. Counterparty credit risk has become the key element of financial risk management, highlighted by the bankruptcy of the investment bank Lehman Brothers and failure of other high profile institutions such as Bear Sterns, AIG, Fannie Mae and Freddie Mac. The sudden realisation of extensive counterparty risks has severely compromised the health of global financial markets. Counterparty risk is now a key problem for all financial institutions. This book explains the emergence of counterparty risk during the recent credit crisis. The quantification of firm-wide credit exposure for ...
Republic of Lithuania
This 2017 Article IV Consultation highlights that the economy of Lithuania has been gathering momentum, following sluggish performance in 2015 and most of 2016. Real GDP expanded by 3.9 percent in the first quarter of 2017 after rising by 2.3 percent in 2016. Strong private consumption, on the back of robust wage growth and low inflation that supported purchasing power, has long been a main driver of growth. Building on recent momentum, economic growth should be strong in 2017, rising to 3.2 percent. Improving external conditions and a turnaround in European funds absorption, as well as high capacity utilization, should spur exports and investment.
Cyprus
Growth moderated in 2023 with slowing consumption growth, lower services exports to Russia, and fading post-pandemic base effects. But growth has remained above the euro area (EA) average, supported by a continued recovery in tourism, expanding financial services and ICT activity, and strong investments. The labor markets are tight, with unemployment at a near two-decade low. Headline inflation dipped below 2 percent, but core inflation has been more persistent. Growth is expected to stabilize in 2024 and rise to 3 percent in the medium term.
Italy
This Selected Issues Paper focuses on structural reforms and fiscal devaluation in Italy. Italy’s economy has a number of important strengths. Despite these strengths, Italy’s economic performance has lagged behind its peers. The authorities’ reform plans are under way in different sectors of the country. In most cases, if reforms go in the right direction, their impact would depend on consistent and prompt implementation. The model-based analysis also suggests that the potential gains to the economy from deeper reforms can be sizable.
Republic of Lithuania
This 2013 Article IV Consultation IMF staff report focuses on measures that are being undertaken to rebalance macroeconomic growth in Lithuania. The IMF report discusses the requirement of fiscal consolidation to fully rebuild fiscal space. It highlights the important role played by the financial sector in enabling sound credit expansion to support economic growth. Reducing obstacles to the resolution of nonperforming loans could help ease constraints on credit supply. The current account deficit is projected to remain relatively contained over the medium term, reaching about 2 percent of GDP, and financed mostly by foreign direct investment.
The Routledge Companion to Banking Regulation and Reform
The Routledge Companion to Banking Regulation and Reform provides a prestigious cutting edge international reference work offering students, researchers and policy makers a comprehensive guide to the paradigm shift in banking studies since the historic financial crisis in 2007. The transformation in banking over the last two decades has not been authoritatively and critically analysed by the mainstream academic literature. This unique collection brings together a multi-disciplinary group of leading authorities in the field to analyse and investigate post-crisis regulation and reform. Representing the wide spectrum of non-mainstream economics and finance, topics range widely from financial in...
Cyprus
Various indicators place Cyprus’s banking system soundness ahead of emerging countries but behind advanced economies. This report discusses financial sector stability in Cyprus, using a combination of accounting-based and market-based indicators, and stress tests. Cypriot commercial banks are weaker than their counterparts in Greece and also less stable than cooperative banks in Cyprus. Credit risk appears as the main source of risk in the banking sector, with demand for real estate slowing, declining property price growth as well as Cyprus’s high household indebtedness.
IMF Research Bulletin, March 2014
The Research Summaries in the March 2014 Research Bulletin focus on efficiency of health expenditure (Francesco Grigoli and Javier Kapsoli) and employment growth in European Union countries (Bas B. Bakker and Li Zeng). The Q&A article looks at “Seven Questions on Financial Interconnectedness” (Co-Pierre Georg and Camelia Minoiu). The Research Bulletin also includes a listing of IMF Working Papers, Staff Discussion Notes, and Recommended Readings from the IMF Bookstore. Information on the IMF Economic Review—the research journal of the IMF—is also provided.
Price of Risk
Probability of default (PD) measures have been widely used in estimating potential losses of, and contagion among, large financial institutions. In a period of financial stress however, the existing methods to compute PDs and generate loss estimates that may vary significantly. This paper discusses three issues that should be taken into account in using PD-based methodologies for loss or contagion analyses: (i) the use of - risk-neutral probabilities - vs. -real-world probabilities; - (ii) the divergence between movements in credit and equity markets during periods of financial stress; and (iii) the assumption of stochastic vs. fixed recovery for financial institutions’ assets. All three elements have nontrivial implications for providing an accurate estimate of default probabilities and associated losses as inputs for setting policies related to large banks in distress.
