scholarly journals Thailand

2019 ◽  
Vol 19 (318) ◽  
Author(s):  
Keyword(s):  
Stress Test ◽  
Banking System ◽  
Asian Financial Crisis ◽  
Stress Tests ◽  
Loan Portfolio ◽  
Foreign Exchange Risk ◽  
Bond Portfolio ◽  
Exchange Risk ◽  
Test Exercise ◽  
Analytical Tools

The Thai banking system shows a substantial resilience to severe shocks. The solvency stress tests indicate that the largest banks can withstand an adverse scenario broadly as severe as the Asian financial crisis. While three banks would deplete their capital conservation buffer (CCB) under the adverse scenario, recapitalization needs would be minimal. A battery of complementary sensitivity stress tests, which allows to cover in more detail certain risk factors, also confirmed the overall picture of a resilient baking system: no particular vulnerability emerged from the analysis of the bond portfolio to an increase in government and corporate spreads, exposure to foreign exchange risk, and concentration risk in the loan portfolio, with the possible exception of one entity with a particular concentration on single-name exposures. From a systemic risk perspective, certain risk concentrations can act as shock amplifiers in case of stress, and hence highlight the importance of improving and expanding the range of analytical tools to detect them. The BoT’s solvency stress test exercise, conducted independently based on the same macro scenarios, showed very similar results despite some fundamental differences of approach, providing a mutual check on the overall robustness of the results.

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 Productivity efficiency of the systemic banks: Evidence from Greece

2015 ◽  
Vol 13 (1) ◽  
pp. 362-369
Author(s):  
George Kyriazopoulos
Keyword(s):  
Financial Stability ◽  
Debt Crisis ◽  
Geometric Mean ◽  
Banking System ◽  
Loan Portfolio ◽  
Banking Efficiency ◽  
Bond Portfolio ◽  
Productivity Indices ◽  
Domestic Banks ◽  
Capital Injections

This study delves into the productivity efficiency of Greek systemic banks for the years 2013 and 2014, that is, the two years following the recapitalization process of the Greek banking system. Greece’s ongoing debt crisis has severely inflicted domestic banks by causing significant losses in their bond portfolio through the PSI scheme. The immediate consequences were loan portfolio restructurings and capital injections from the Hellenic Financial Stability Fund (HFSF) in order to rebuild the banking system. Employing Data Envelope Analysis to test banking efficiency, we calculate the Malmquist productivity indices for the post-recapitalization period. Our results display that all Greek systemic banks enjoy a remarkable productivity increase of 17.3% according to the geometric mean approach and 18% according to the weighted mean approach.

scholarly journals The Assessment of Systemic Risk in the Kenyan Banking Sector

Complexity ◽  
2018 ◽  
Vol 2018 ◽  
pp. 1-15 ◽  
Author(s):  
Hong Fan ◽  
Allan Alvin Lee Lukaya Amalia ◽  
Qian Qian Gao
Keyword(s):  
Systemic Risk ◽  
Banking Sector ◽  
Stress Test ◽  
Banking System ◽  
Financial Data ◽  
Annual Reports ◽  
Centrality Measures ◽  
Network Centrality ◽  
Regulatory Body ◽  
Stress Tests

The present paper aims to assess the systemic risk of the Kenyan banking system. We propose a theoretical framework to reveal the time evolution of the systemic risk using sequences of financial data and use the framework to assess the systemic risk of the Kenyan banking system that is regarded as the largest in the East and Central African region. Firstly, we estimate the bilateral exposures matrix using aggregate financial data on loans and deposits from annual reports and analyze the interconnectedness in the market using network centrality measures. Next, we extend the Eisenberg–Noe method to a multiperiod setting to the systemic risk of the Kenyan banking system, in which the multiperiod includes the dynamic evolutions of the Kenyan banking system of every bank and the structure of the interbank network system. We apply this framework to assess dynamically the systemic risk of the Kenyan banking system between 2009 and 2015. The main findings are the following. The theoretical network analysis using network centrality measures showed several banks displaying characteristics of systematically important banks (SIBs). The theoretical default analysis showed that a bank suffering a basic default will trigger a contagious default that caused several other banks in the sector to go bankrupt. Further stress test proved that the KCB bank theoretically caused a few contagious defaults due to an unusually high interconnectedness. This methodology can contribute by being part of monitoring system of the Central Bank of Kenya (regulatory body) as well as the implementation of policies (such as bank-internal stress tests) that assist in preventing default contagion.

scholarly journals Bank Stress Testing: A Stochastic Simulation Framework to Assess Banks’ Financial Fragility

Risks ◽  
2018 ◽  
Vol 6 (3) ◽  
pp. 82 ◽  
Author(s):  
Giuseppe Montesi ◽  
Giovanni Papiro
Keyword(s):  
Stochastic Simulation ◽  
Stress Testing ◽  
Stress Test ◽  
Capital Adequacy ◽  
Financial Fragility ◽  
Forecasting Model ◽  
Probability Of Default ◽  
Stress Tests ◽  
Simulation Framework ◽  
Test Exercise

We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital adequacy, financial fragility, and probability of default. The paper provides a theoretical presentation of the methodology and the essential features of the forecasting model on which it is based. Also, for illustrative purposes and to show in practical terms how to apply the methodology and the types of outcomes and analysis that can be obtained, we report the results of an empirical application of the methodology proposed to the Global Systemically Important Banks (G-SIB) banks. The results of the stress test exercise are compared with the results of the supervisory stress tests performed in 2014 by the Federal Reserve and EBA/ECB.

scholarly journals Stress Tests and Liquidity Crisis in the Banking System

Equilibrium ◽  
2013 ◽  
Vol 8 (2) ◽  
pp. 31-43
Author(s):  
Julian Llorent ◽  
Maria Del Carmen Melgar ◽  
Jose Antonio Ordaz ◽  
Flor Maria Guerrero
Keyword(s):  
Stress Test ◽  
Banking System ◽  
Stress Tests ◽  
Liquidity Crisis ◽  
The Impact

The paper´s aim is to contribute to the debate on the impact of stress test on banking system liquidity. Due to the theoretical character of the problem, the used methodology is a set of results from research and theoretical works about how the attempts to increase system solvency could lead into a greater lack of liquidity.

Characterization of CMOS Structures (0.6 µm process) Submitted to HBM and COM ESD Stress Tests

1997 ◽  
Author(s):  
G. Meneghesso ◽  
E. Zanoni ◽  
P. Colombo ◽  
M. Brambilla ◽  
R. Annunziata ◽  
...  
Keyword(s):  
Electron Microscopy ◽  
Electrostatic Discharge ◽  
Stress Test ◽  
Complete Characterization ◽  
Stress Tests ◽  
Test Procedures ◽  
Emission Microscopy ◽  
Fast Rise ◽  
Scanning Electron

Abstract In this work, we present new results concerning electrostatic discharge (ESD) robustness of 0.6 μm CMOS structures. Devices have been tested according to both HBM and socketed CDM (sCDM) ESD test procedures. Test structures have been submitted to a complete characterization consisting in: 1) measurement of the tum-on time of the protection structures submitted to pulses with very fast rise times; 2) ESD stress test with the HBM and sCDM models; 3) failure analysis based on emission microscopy (EMMI) and Scanning Electron Microscopy (SEM).

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