This paper describes the application of contingent claims analysis (CCA) and systemic CCA to the top four commercial banks in Sweden. The balance sheet stress tests for four major banks were complemented with tests based on the CCA framework, a risk-adjusted balance sheet relating bank asset values to equity value, default risk, and bank funding costs. Even though the results show that banks are found to be resilient to shocks, more work on systemic risk models could help analyze systemic risk under stress scenarios.Financial Sector Assessment Program Update: Technical Note on Contingent Claims Analysis Approach to Measure Risk ... adjusted for taxes and dividends give the changes in bank assets for the four stress test scenarios each year 2011 to 2015 (the process is described in detail in Appendix I). ... come from the incremental funding cost spread formula which is ... to one year) minus the base credit spread (i.e., spread if bank assets remain unchanged) gives the incremental spread.
|Author||:||International Monetary Fund|
|Publisher||:||International Monetary Fund - 2011-09-16|