scholarly journals A Macro Stress Testing Framework for Assessing Systemic Risks in the Banking Sector

2013 ◽  
Author(s):  
Jerome Henry ◽  
Christoffer Kok ◽  
Adrien Amzallag ◽  
Patrizia Baudino ◽  
Inês Cabral ◽  
...  
Keyword(s):  
Stress Testing ◽  
Banking Sector ◽  
Testing Framework ◽  
Systemic Risks

Stress-testing Russian Banking System: Will Banks Need Government Assistance Again?

2010 ◽  
pp. 61-81 ◽  
Author(s):  
O. Solntsev ◽  
A. Pestova ◽  
M. Mamonov
Keyword(s):  
Stress Testing ◽  
Banking Sector ◽  
Stress Test ◽  
Banking System ◽  
Government Assistance ◽  
Methodological Issues ◽  
Loan Portfolio ◽  
Macroeconomic Indicators ◽  
Remote Stress ◽  
Capital Injections

The article analyzes factors that affect growth of the share of non-performing loans in the loan portfolio of Russian banks and proposes approaches for this share forecasting on the basis of dynamics of macroeconomic indicators. It also deals with methodological issues of remote stress-test of lending agencies. Using the results of conducted stress-test of Russian banks the authors assess their perspective capital needs in 2010 and estimate the share of government assistance in capital injections. Furthermore, the authors define the scale of vulnerable banks groups in the Russian banking sector.

scholarly journals Stress-Testing Framework for Urban Water Systems: A Source to Tap Approach for Stochastic Resilience Assessment

Water ◽  
2022 ◽  
Vol 14 (2) ◽  
pp. 154
Author(s):  
Dionysios Nikolopoulos ◽  
Panagiotis Kossieris ◽  
Ioannis Tsoukalas ◽  
Christos Makropoulos
Keyword(s):  
Water Distribution ◽  
Stress Testing ◽  
Water Cycle ◽  
Water System ◽  
Operating Conditions ◽  
Distribution Model ◽  
Generation Model ◽  
Urban Water ◽  
Testing Framework ◽  
Urban Water System

Optimizing the design and operation of an Urban Water System (UWS) faces significant challenges over its lifespan to account for the uncertainties of important stressors that arise from population growth rates, climate change factors, or shifting demand patterns. The analysis of a UWS’s performance across interdependent subsystems benefits from a multi-model approach where different designs are tested against a variety of metrics and in different times scales for each subsystem. In this work, we present a stress-testing framework for UWSs that assesses the system’s resilience, i.e., the degree to which a UWS continues to perform under progressively increasing disturbance (deviation from normal operating conditions). The framework is underpinned by a modeling chain that covers the entire water cycle, in a source-to-tap manner, coupling a water resources management model, a hydraulic water distribution model, and a water demand generation model. An additional stochastic simulation module enables the representation and modeling of uncertainty throughout the water cycle. We demonstrate the framework by “stress-testing” a synthetic UWS case study with an ensemble of scenarios whose parameters are stochastically changing within the UWS simulation timeframe and quantify the uncertainty in the estimation of the system’s resilience.

Key Aspects of Macroprudential Policy - Background Paper

Policy Papers ◽  
2013 ◽  
Vol 2013 (80) ◽  
Author(s):  
Keyword(s):  
Banking Sector ◽  
Time Varying ◽  
Real Economy ◽  
Macroprudential Policy ◽  
Medium Term ◽  
Minimum Capital ◽  
Minimum Capital Requirement ◽  
Systemic Risks ◽  
Key Aspects ◽  
Time Invariant

The countercyclical capital buffer (CCB) was proposed by the Basel committee to increase the resilience of the banking sector to negative shocks. The interactions between banking sector losses and the real economy highlight the importance of building a capital buffer in periods when systemic risks are rising. Basel III introduces a framework for a time-varying capital buffer on top of the minimum capital requirement and another time-invariant buffer (the conservation buffer). The CCB aims to make banks more resilient against imbalances in credit markets and thereby enhance medium-term prospects of the economy—in good times when system-wide risks are growing, the regulators could impose the CCB which would help the banks to withstand losses in bad times.

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