| Description |
1 online resource (143 pages) : color illustrations |
| Series |
IMF country report ; no. 15/173 |
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IMF country report ; no. 15/173.
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| Contents |
Cover; CONTENTS; GLOSSARY; EXECUTIVE SUMMARY; TABLES; 1. Stress Testing Recommendations; INTRODUCTION; 2. Stress Testing: Overview of the Exercises Done by the IMF; IMF STAFF'S SOLVENCY STRESS TESTS FOR BANK HOLDING COMPANIES; A. Scope of the Test; FIGURES; 1. Structure of the U.S. Banking Sector; B. Bank Holding Companies: An Overview; C. Macroeconomic Scenarios; 3. Variables Used in the IMF Stress Test; D. Capital Standards; 2. GDP Growth in the Baseline and Stress Scenario; 4. Capital Standards; 5. Capital Standards for Advanced Approach BHCs and Other BHCs |
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E. Models and Behavioral Assumptions3. IMF Stress Testing Framework: Bank Solvency; 6. Balance Sheet Mapping; 7. Loan Portfolio Mapping; 8. Projection Exercise; 9. Models of Net Charge-Offs; F. Sensitivity Analyses; G. Results; 10. Dividend Distribution Schedule; H. Network Analysis for Large BHCs; 4. CET1 Ratio Under the Baseline and Stress Scenario; 5. Credit and Funding Shock; 11. Simulation Results of Credit and Funding Shock with Risk Transfers; DISCUSSION OF SUPERVISORY AND COMPANY-RUN SOLVENCY STRESS TESTS; 6. Contagion Path Triggered by BHC 1 Distress; A. Supervisory Stress Tests |
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12. Main Differences Between IMF's Top-Down and FRB's Top-Down Approach7. DFA vs. IMF Stress Test Results; B. Company-run DFAST for 31 BHCs; IMF STAFF'S LIQUIDITY RISK ANALYSIS FOR BHCS; A. Liquidity Metric; 13. Liquid Assets; B. Results; 14. Outflow Items; 8. Liquidity Metric, Historical Run-Off Rates, and LCR Run-Off Rates; IMF STAFF'S SOLVENCY TESTS FOR INSURANCE; A. Scope of the Test; B. Scenario; 15. Market Risk Parameters; C. Valuation and Capital Standard; D. An Overview of Insurance Companies Soundness; E. Modeling Assumptions; F. Results |
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9. Medium-term Projections in a Low Interest Rate Environment, 2006-1810. Top-Down Insurance Stress Tests; 16. Impact of Natural Catastrophes and Pandemics; BOXES; 1. NAIC Top Down Stress Test; 17. Changes in Duration and Credit Quality of Bond Portfolio; 2. Additional IMF Stress Test Based on Statutory Accounting; IMF STAFF'S LIQUIDITY ANALYSIS OF MUTUAL FUNDS; 11. Mutual Fund Liquidity Analysis: The Waterfall Approach; 12. Results of the Liquidity Risk Analysis; IMF STAFF'S MARKET-PRICE BASED STRESS TESTS; A. Systemic Risk Dashboard; 13. SRISK Market Implied Capital Shortfalls |
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14. Early Warning Indicators15. Equity Price Misalignment Measures; 16. Fundamentals in Housing and Credit; 17. Credit Risk Networks; 18. Financial Account Net Exposures; 19. Systemic Risk Indicators Framework, 2010Q4 and 2014Q4; 3. Systemic Risk Indicators Framework (SyRIN): A Primer; B. Contingent Claims Analysis: Stress Testing for Systemic Risk; 18. CCA Stress Test Sample Data; 19. Variables Used in CCA Stress Tests; 20. Financial System Connectivity; 21. U.S. Financial System Default Probability Forecast; 22. Spillover Map; RECOMMENDATIONS FOR IMPROVEMENT; REFERENCES; APPENDICES |
| Summary |
EXECUTIVE SUMMARY1 1. A range of stress tests was used to quantify the potential impacts of risks and vulnerabilities in bank and nonbank sectors. The stress testing exercise reflected a broader evaluation of potential risks, embodied in the Risk Assessment Matrix (Appendix I). To provide a more comprehensive assessment than possible with any single approach, the stress testing exercise comprised several approaches. The FSAP team conducted top-down solvency tests for bank holding companies (BHCs) and insurance companies, liquidity risk analysis for BHCs and mutual funds, as well as market-price based stress tests. Moreover, the exercise was informed by the supervisory (top-down) stress tests performed by the U.S. authorities for the banking sector and the insurance sector, and by company-run (bottom-up) stress tests performed by BHCs. The exercise thus covered both banks and nonbanks (including insurance companies and mutual funds). It encompassed solvency and liquidity risks, as well as contagion risks. In the case of BHCs, the tests performed by IMF staff complement the Dodd-Frank Act stress test (DFAST) results. 2. The stress tests run by the authorities and by companies under the DFA suggest that most large BHCs are resilient to shocks similar to the last crisis. The DFA requires the FRB to conduct an annual supervisory stress test of BHCs with total consolidated assets of $50 billion or more. It also requires all financial institutions with total consolidated assets of more than $10 billion to conduct company-run stress tests at least once a year. The results of the 2015 supervisory and company run stress tests, released in March, suggest that the system is resilient to severe shocks. Even in the severely adverse scenario (resembling the 2008--09 crisis), all the 31 BHCs have sufficient capital to absorb losses, which is the first time since the start of annual stress tests in 2009 that no firm fell below any of the main capital thresholds. The tests do not cover insurance and other nonbank financial institutions and do not capture network effects or analyze liquidity risks. 3. The staff's analysis benefited from the relatively wide range of publicly available data, but was nonetheless subject to data constraints. Due to constraints on the authorities' ability to share confidential supervisory information with the team, the analysis relied largely on publicly available data. The public data gathered was very extensive, but had notable gaps in some areas. For example, a lack of security-level granularity in publicly available data made full-fledged liquidity stress testing for BHCs and mutual funds a challenge. Data on interconnectedness among financial institutions have important gaps, although the authorities assisted the team in performing a contagion stress test for a sample of large BHCs. The insurance sector analysis was also constrained by valuation practices in the United States, complexity of the insurance business and its regulation, and the absence of group-level risk-based capital |
| Analysis |
Banking Sector |
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Capital Markets |
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Financial Sector Assessment Program |
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Insurance |
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Liquidity |
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Stress Testing |
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United States |
| Notes |
"Prepared by Monetary and Capital Markets Department"--Page 2 of pdf |
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"July 2015." |
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"June 2015"--Page 2 of pdf |
| Bibliography |
Includes bibliographical references (pages 94-96) |
| Notes |
Online resource; title from pdf title page (IMF Web site, viewed July 8, 2015) |
| Subject |
International Monetary Fund -- United States
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| SUBJECT |
International Monetary Fund fast |
| Subject |
Financial crises -- United States
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Finance -- Risk management -- United States
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Banks and banking -- Risk management -- United States
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Insurance -- Risk management -- United States
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Financial risk management -- United States
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Financial crises
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United States
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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 |
1513527150 |
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9781513527154 |
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1513591509 |
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9781513591506 |
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