| Description |
1 online resource (71 pages) : color illustrations |
| Series |
IMF country report, 2227-8907 ; no. 13/185 |
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IMF country report ; no. 13/185
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| Contents |
Cover; Contents; Glossary; Executive Summary; I. Introduction; II. Solvency Stress Tests; III. Liquidity Stress Tests; IV. Contagion Risk; V. Conclusion and Recommendations; References; Tables; 1. Main Recommendations on Stress Testing; 2. Solvency Measures Under Stress; 3. Macroeconomic Variables Under the Scenarios Used for the Solvency Tests; 4. Phase out of AFS Regulatory Filter in the Stress Test Horizon; 5. Bank Liquidity Stress Test Results; Figures; 1. Banking Sector Market Shares, 2011; 2. Bank Solvency Stress Test Results, CET1 Ratios |
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3. Interbank Network of French Banks, December 2011Appendices; I. Stress Test Matrix: Solvency, Liquidity, and Contagion Risks; II. Sample Shocks to Sovereign Yields; III. Risk Assessment Matrix; IV. Liquidity Stress Test Parameters; V. Top-Down Satellite Models; VI. Guidelines for Stress Testing French Banks; VII. Capital Definition; VIII. Defaulted Assets Flow (A-IRB Portfolios and Standardized); IX. Loan Losses; X. RWA/Credit Risk without Securitization Positions; Appendix Boxes; 1. Estimation of Defaulted Assets Flows: Examples for 2012 and 2013 |
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2. Impairment Flows on new Defaulted Assets: Examples for 2012 and 20133. IRB Excess/Shortfall for Old Defaulted Assets: Examples for 2012 and 2013; Appendix Tables; 1. Key Exogenous Macroeconomic Variables in the Baseline Scenario; 2. Key Exogenous Macroeconomic Indicators in the Baseline and the Adverse Scenarios; 3. Baseline and Adverse Scenario: Key Macroeconomic Indicators; 4. Solvency Measures Under Stress; 5. Sample of Shocks to Sovereign Yields; 6. Output Tables |
| Summary |
This technical note discusses key findings of the Stress Testing of the Banking Sector for France. Stress testing analysis was used to capture the most salient risks for banks. The findings support the current focus of Autorité de Contrôle Prudentiel (ACP) to require banks to build up adequate capital and liquidity buffers. They suggest that the banking system would be able to meet regulatory ratios under most scenarios. Solvency stress tests indicate that banks could cope with deterioration in the economic environment while phasing in capital requirements under Capital Requirements Directive IV |
| Notes |
Title from PDF title page (IMF Web site, viewed July 1, 2013) |
|
"Financial sector assessment program update"--Page 2 of pdf |
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"Monetary and Capital Markets Department"--Page 2 of pdf |
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"June 2013"--Page 2 of pdf |
| Bibliography |
Includes bibliographical references (page 25) |
| Subject |
Financial risk management -- France
|
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Banks and banking -- France -- Evaluation
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Bank liquidity -- France -- Evaluation
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Banks and banking -- Evaluation
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Financial risk management
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France
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| Form |
Electronic book
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| Author |
International Monetary Fund. Monetary and Capital Markets Department
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| ISBN |
9781484366219 |
|
1484366212 |
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9781616358556 |
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1616358556 |
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