Browsing by Subject "stressitestaus"

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  • Fungáčová, Zuzana; Jakubik, Petr (2012)
    BOFIT Discussion Papers 3/2012
    Published in Czech Journal of Economics and Finance, Volume 63, Issue 1, pages 87-105, 2013
    The recent financial crisis emphasised the need for effective financial stability analyses and tools for detecting systemic risk. This paper looks at assessment of banking sector resilience through stress testing. We argue such analyses are valuable even in emerging economies that suffer from limited data availability, short time series and structural breaks. We propose a top-down stress test methodology that employs relatively limited information to overcome this data problem. Moreover, as credit growth in emerging economies tends to be rather volatile, we rely on dynamic approach projecting key balance sheet items. Application of our proposed stress test framework to the Russian banking sector reveals a high sensitivity of the capital adequacy ratio to the economic cycle that shows up in both of the two-year macroeconomic scenarios considered: a baseline and an adverse one. Both scenarios indicate the need for capital increase in the Russian banking sector. Furthermore, given that Russia's banking sector is small and fragmented relative to advanced economies, the loss of external financing can cause profound economic stress, especially for medium-sized and small enterprises. The Russian state has a low public debt-to-GDP ratio and plays decisive role in the banking sector. These factors allow sufficient fiscal space for recapitalisation of problematic banks under both of our proposed baseline and adverse scenarios. Keywords: stress testing, bank, Russia JEL Classification: G28, P34, G21
  • Alho, Eeva (2010)
    Bank of Finland. Financial market report 3
    The stress test conducted in the summer revealed that European banks capital adequacy is good on average and that their direct exposures to European sovereign debt are smaller that feared. The banking system however still has weak parts, and the aim is to strengthen them via restructuring. Government support measures have been set up. The governments have not yet completely exited from earlier support measures.
  • Alho, Eeva (2010)
    Suomen Pankki. Rahoitusmarkkinaraportti 3
    Euroopan pankit osoittautuivat kesän stressitestissä keskimäärin vakavaraisiksi ja niiden suorat valtioriskit pelättyä pienemmiksi. Pankkijärjestelmässä on silti yhä lahoja osia, joita pyritään vahvistamaan rakennejärjestelyillä. Valtioiden tukijärjestelyjä on valmiina. Edellisistä tuista ei ole kaikilta osin vielä irtauduttu.
  • Pesola, Jarmo (2007)
    Bank of Finland Research Discussion Papers 15/2007
    Published in Journal of Banking & Finance, Volume 35, Issue 11, November 2011: 3134-3144
    This paper tests the hypothesis that the more fragile a banking system is, the more likely it is to experience problems when an unexpected shock hits. The empirical framework where this test is conducted is a reduced form model, where macroeconomic factors explain banks' loan losses. The dependent variable is the ratio of net loan losses to lending in a panel comprising the banking sectors of nine sample countries. An econometric model is estimated on pooled annual data mostly covering the period from the early 1980s to 2002. There are three separate explanatory terms. Two of these include a surprise change both in incomes and real interest rates. Both form a separate cross-product term with lagged aggregate indebtedness. The lagged dependent variable is the third explanatory term possibly capturing the feedback effect from loan losses back to the real economy. The underlying macroeconomic account that this paper puts forward is that loan losses seem basically to be generated by strong adverse aggregate shocks under high exposure of banks to such shocks. The model has been used in connection with stress testing in the Bank of Finland. Key words: financial fragility, unexpected macroeconomic shock, loan loss, stress test JEL classification numbers: G21, E44
  • Mäki-Fränti, Petri (2011)
    Bank of Finland bulletin. Economic outlook 5
    The debt ratio of Finnish households has grown steadily over the past decade and in 2011 stood at approximately 108% of disposable household income.' Despite the growth in the debt ratio, the low level of interest rates has enabled households to continue to service their loans, and the employment situation did not show any rapid deterioration even during the recess-ion of 2008-2009. There have actually been very few payment defaults by Finnish households, despite the growth in the debt ratio. The most heavily indebted house-holds could nevertheless be vulnerable co financial difficulties. Even a short period of unemployment, or an increase in housing loan interest rates, could force them to substantially reduce their accustomed level of consumption, with this being reflected in increased volatility in aggregate private consumption. This would in turn amplify cyclical volatility in the economy. Moreover, excessive levels of debt increase the risk of households defaulting on their payments, and in an extreme scenario household credit risks could endanger the stability of the entire financial system. More important than the average debt ratio is the way in which debt is distributed between households. High-income and wealthy households are better placed than low-income households to bear risks that are large not just in absolute euro terms, but also relative to house-hold income. The larger the amount of money left over after loan servicing costs, the easier it will be for a household to adjust its consumption in the event of a decline in income due, for instance, to unemployment.
  • Jokivuolle, Esa; Kilponen, Juha; Kuusi, Tero (2007)
    Bank of Finland Research Discussion Papers 26/2007
    We suggest a complementary tool for financial stability analysis based on stochastic simulation of a dynamic stochastic general equilibrium model (DSGE) of the macro economy. The paper relates to financial stability research in which financial aggregates crucial to financial stability are modelled as functions of macroeconomic variables. In these models, stress tests for eg banking sector loan losses can be generated by considering adverse scenarios of macro variables. A DSGE model provides a systematic way of generating coherent macro scenarios which can be given a rigorous economic interpretation. The approach is illustrated using a DSGE model of the Finnish economy and a simple model of Finnish banking sector loan losses. Keywords: DSGE models, financial stability, loan losses, stress testing JEL classification numbers: E13, E37, G21, G28
  • Mäki-Fränti, Petri (2011)
    Euro & talous. Talouden näkymät 5
    Suomalaisten kotitalouksien velkaantumisaste on kasvanut trendinomaisesti koko 2000-luvun ajan, ja vuonna 2011 suomalaisilla kotitalouksilla oli velkaa noin 108 % suhteessa käytettävissä oleviin tuloihin (lukuun ei sisälly kotitalouksien osuus asunto-osakeyhtiöiden veloista). Vaikka velkaantumisaste on noussut, matala korkotaso on ylläpitänyt kotitalouksien kykyä selviytyä lainoistaan, eikä työllisyystilanne heikentynyt nopeasti edes taantuman aikana vuosina 2008-2009. Kotitalouksien maksuhäiriöt ovatkin pysyneet vähäisinä velkaantumisen kasvusta huolimatta. Raskaimmin velkaantuneet kotitaloudet voivat silti olla alttiita taloudellisille vaikeuksille. Lyhytaikainen työttömyys tai asuntolainan koron nousu voi pakottaa kotitalouden tinkimään huomattavasti totutusta kulutustasostaan, mikä näkyy yksityisen kulutuksen volatili teetin kasvuna. Jos yksityinen kulutus kehittyy epävakaasti, suhdannevaihtelut voimistuvat. Lisäksi ylivelkaantuminen kasvattaa kotitalouksien maksuhäiriöiden riskiä, ja äärimmäisessä tapauksessa kotitalouksien luottoriskit voivat vaarantaa koko rahoitusjärjestelmän vakauden. Keskimääräisen velkaantumisasteen sijaan enemmän merkitystä on sillä, miten velkaantuminen on jakautunut kotitalouksien kesken. Suurituloiset ja varakkaat kotitaloudet kestävät pienituloisia kotitalouksia paremmin riskejä, joita liittyy, ei pelkästään euromääräisesti suuriin velkoihin, vaan myös velkoihin, jotka ovat suuret suhteessa kotitalouden tuloihin. Mitä suurempi on lainanhoitokustannusten yli jäävä euromääräinen marginaali, sitä helpompaa kotitaloudelle on sopeuttaa kulutustaan, jos tulot vähenevät esimerkiksi työttömyyden vuoksi.
  • Mäki-Fränti, Petri (2014)
    Suomen Pankki. BoF online 7/2014
    Suomalaisten kotitalouksien velkaantuminen on ainakin aivan viime aikoihin asti jatkunut finanssikriisistä ja taantumasta huolimatta. Vuonna 2013 suomalaisilla kotitalouksilla oli velkaa noin 119 % käytettävissä olevista vuosituloistaan. Se on lähellä EU:n keskitasoa mutta selvästi pienempi kuin muissa Pohjoismaissa. Vuonna 2012 Ruotsin kotitalouksien velkaantuminen oli noin 180 %, Norjan 200 % ja Tanskan lähes 300 % käytettävissä olevista tuloista. Kotitalouksien velkaantumisen kasvu ei myöskään, ainakaan toistaiseksi, ole oleellisesti vaikuttanut rahoitusjärjestelmän tilaan. Raskaimmin velkaantuneetkaan kotitaloudet eivät Suomessa aiheuttaneet pankeille merkittäviä luottotappioita edes finanssikriisin aikana, kun työttömyys lisääntyi. Kotitalouksien korkea velkaantuminen vähentää kuitenkin makrotaloudellista vakautta lisätessään kotitalouksien taloudellista haavoittuvuutta. Suomalaiset kotitaloudet ovat perinteisesti pystyneet mukautumaan tulonmenetyksiin, kuten työttömyyteen, sopeuttamalla muuta kulutusta ja turvautumalla kattavaan sosiaaliturvajärjestelmään, niin että ovat voineet jatkaa lainojensa hoitamista. Nykyisen taantuman aikana suhteellisen kevyesti velkaantuneilla kotitalouksilla on toisaalta ollut varaa jopa velkaantua lisää, mikä on auttanut pitämään yllä yksityistä kulutusta. Suomalaisten kotitalouksien velka on suurimmaksi osaksi asuntolainoja. Viime vuosien velkaantumisvauhti onkin pitkälti seurannut asuntojen hintakehitystä. Asuntojen nimellishintojen nousu varsinkin suuremmissa kaupungeissa on tasaantunut vasta nyt, pitkittyneen taantuman myötä. Vaikka velkaantumisaste on noussut, matala korkotaso on parantanut kotitalouksien kykyä selviytyä lainoistaan, eikä työllisyystilanne heikentynyt kovin paljon edes finanssikriisin aikana vuosina 2008-2009. Keskimääräisen velkaantumisasteen sijaan enemmän merkitystä onkin sillä miten velkaantuminen on jakautunut. Suurituloiset ja varakkaat kotitaloudet kestävät köyhempiä kotitalouksia paremmin riskejä, joita liittyy, ei pelkästään euromääräisesti suuriin velkoihin, vaan myös suuriin velkoihin suhteessa kotitalouden tuloihin. Tässä raportissa tarkastellaan suomalaisten kotitalouksien taloudellista liikkumavaraa ja kotitalouksien kykyä sopeutua työttömyyden tai korkojen nousun kaltaisiin taloudellisiin häiriöihin. Raportissa päivitetään syksyllä 2011 tehdyt vastaavat laskelmat uusimmalla käytettävissä olevalla aineistolla. Lisäksi kysymyksenasettelua laajennetaan lisätarkasteluilla, joissa kotitalouksien keskimääräinen velkaantuminen oletetaan todellista merkittävästi suuremmaksi. Tarkastelu auttaa arvioimaan, missä määrin Suomen kotitalouksien muita Pohjoismaita alhaisempi velkaantuminen helpottaa selviämistä taantumasta ilman että maksuvaikeuksiin joutuvien kotitalouksien määrä merkittävästi kasvaa.
  • Leinonen, Harry (2005)
    Bank of Finland studies. E 31
    This publication consists of eleven separate studies on payment and settlement systems conducted using simulation techniques. Most have been carried out using the payment and settlement system simulators BoF-PSS1 or BoF-PSS2 provided by the Bank of Finland and presented at the simulator seminars arranged by the Bank. The main focus in the analyses is on liquidity requirements, settlement speed, gridlock situations, gridlock resolving methods, liquidity economising, systemic risk, and the impact of shocks on system performance. The studies look at systems in several countries and cover both RTGS and netting systems as well as securities settlement systems.
  • Virolainen, Kimmo (2003)
    Suomen Pankin keskustelualoitteita 18/2004
    In the discussion paper, we employ data on industry-specific corporate sector bankruptcies over the time period from 1986 to 2003 and estimate a macroeconomic credit risk model for the Finnish corporate sector.The sample period includes a severe recession with significantly higher-than-average default rates in the early 1990s.The results suggest a significant relationship between corporate sector default rates and key macroeconomic factors including GDP, interest rates and corporate indebtedness.The estimated model is employed to analyse corporate credit risks conditional on current macroeconomic conditions.Furthermore, the paper presents some examples of applying the model to macro stress testing, ie analysing the effects of various adverse macroeconomic events on the banks credit risks stemming from the corporate sector.The results of the stress tests suggest that Finnish corporate sector credit risks are fairly limited in the current macroeconomic environment. Key words: banking, credit risk, stress tests JEL classification numbers: C15, G21, G28, G33
  • Jokivuolle, Esa; Virolainen, Kimmo; Vähämaa, Oskari (2008)
    Bank of Finland Research Discussion Papers 17/2008
    Basel II framework requires banks to conduct stress tests on their potential future minimum capital requirements and consider `at least the effect of mild recession scenarios'. We propose a stress testing framework for minimum capital requirements in which banks' corporate credit risks are modeled with macroeconomic variables. We can thus define scenarios such as a mild recession and consider the resulting credit risk developments and consequent changes in minimum capital requirements. We also emphasize the importance of stress testing future minimum capital requirements jointly with credit losses. Our illustrative results based on Finnish data underline the importance of such joint modeling. We also find that stress tests based on scenarios envisaged by regulators are not likely to imply binding capital constraints on banks. Keywords: Basel II, capital requirements, credit risk, loan losses, stress tests JEL classification numbers: C15, G21, G28, G33
  • Laine, Tatu; Korpinen, Kasperi (2021)
    BoF Economics Review 9/2021
    This paper extends traditional payment system simulation analysis to counterparty liquidity risk exposures. The used stress test scenario corresponds to the counterparty stress scenario applied in the BCBS standard “Monitoring tools for intraday liquidity management” (BIS, 2013). This stress scenario is simulated for participants of the Finnish TARGET2 component with the new BoF-PSS3 simulator. Two liquidity deterioration indicators are introduced to quantify counterparty liquidity risk exposures. As comparison of liquidity risk projections to the available liquidity of participants in the system only yields a restricted and system-specific view of the severity of the scenarios, we compare the liquidity risks to high-quality liquid assets (HQLA) available at the group level to assess the overall liquidity risk that participants face in TARGET2. Our results generally comport with the literature and results reported elsewhere. Banking groups are exposed to a liquidity deterioration equivalent from 20 % to0% of their respective HQLA in just 0.35 % of the daily scenario observations. The exercise paper demonstrates that our proposed alternative form of payment system analysis can be helpful in banking supervision, micro- and macroprudential analysis, as well as resolution authorities’ assessment of the effects of their actions on payment systems.
  • Huotari, Jarkko (2015)
    Bank of Finland Research Discussion Papers 7/2015
    ​I propose a financial stress index (FSI) for the Finnish financial system that aims to reflect the functionality of the financial system and provide an aggregate measure of financial stress in the money, bond, equity and foreign exchange markets and the banking sector. The FSI is a composite index that combines information from these markets and provides a measure of stress in the financial system as a whole. The FSI has obvious benefits for all participants in the financial markets who need a tool for monitoring the functioning of the financial markets, as it provides information on systemic stress events which are not as easily captured with the stress measures of individual markets or sectors. The ESRB recommendation (ESRB, 2014a) also states that national or international FSIs could be used when making a decision about the release of the counter-cyclical capital buffer. Hence, the index can also be used to support the macro-prudential policy decision making in Finland.
  • Laakkonen, Helinä (2016)
    Euro & talous. Blogi
    Finanssikriisin jälkeen isojen pankkien kuntoa on alettu testata samoin kriteerein ja säännönmukaisesti Euroopassa. Stressitesteissä pankkien tappionkantokykyä ja vakavaraisuutta mitataan vaikeiden talousolojen ympäristössä.
  • Kauko, Karlo (2009)
    Suomen Pankki. Rahoitusmarkkinaraportti 2
    KPankkien stressitesteillä arvioidaan pankkien riskinkantokykyä kuvitellussa talousskenaariossa. Stressitestauksen suosio on viime vuosina lisääntynyt. Sekä pankit itse että viranomaiset laativat säännöllisesti stressitestilaskelmia. Viime aikoina on keskusteltu runsaasti etenkin Yhdysvalloissa tehdyistä laskelmista.
  • Laine, Tatu (ed.) (2015)
    Bank of Finland. Scientific monographs. E 50
    This simulator seminar book includes twelve chapters dealing with various aspects of quantitative analysis of financial market infrastructures. The topics include, among others, systemic risks, participant behavior, and new monitoring methods of various payment systems. The methodologies vary from payment system simulations to other types of quantitative analysis based e.g. on artificial neural networks as well as GARCH models. These studies have been presented in the Bank of Finland’s simulator seminars during 2012–2014.
  • Leinonen, Harry (2009)
    Suomen Pankki. E 42
    This publication consists of ten separate studies on payment and settlement systems employing simulation techniques. Most of these were carried out using the payment and settlement system simulator BoF-PSS2 provided by the Bank of Finland. The preliminary versions were presented at the annual simulator seminars arranged by the Bank in 2007 and 2008. The main focus of the analyses is on continuity arrangements, operational stability, liquidity requirements, liquidity economising, gridlock resolution, transaction queuing arrangements, network features and network topologies. The studies examine systems in several countries and cover different kinds of payment systems and regimes.
  • Peura, Samu; Jokivuolle, Esa (2003)
    Suomen Pankin keskustelualoitteita 4/2003
    Published in Journal of Banking and Finance, Vol. 28, No. 8, 2004: 1801-1824
    Banks' holding of reasonable capital buffers in excess of minimum requirements could alleviate the procyclicality problem potentially exacerbated by the rating-sensitive capital charges of Basel II. Determining the required buffer size is an important risk management issue for banks, which the Basle Committee (2002) suggests should be approached via stress testing.We present here a simulation-based approach to stress testing of capital adequacy where rating transitions are conditioned on business-cycle phase and business-cycle dynamics are taken into account.Our approach is an extension of the standard credit portfolio analysis in that we simulate actual bank capital and minimum capital requirements simultaneously.Actual bank capital (absent mark-to-market accounting) is driven by bank income and default losses, whereas capital requirements within the Basel II framework are driven by rating transitions.The joint dynamics of these determine the necessary capital buffers, given bank management's specified confidence level for capital adequacy.We provide a tentative calibration of this confidence level to data on actual bank capital ratios, which enables a ceteris-paribus extrapolation of bank capital under the current regime to bank capital under Basel II. Key words: Basel II, Pillar 2, bank capital, stress tests, procyclicality JEL classification numbers: G21, G32
  • Kauko, Karlo (2009)
    Bank of Finland. Financial market report 2
    Stress tests are used for assessing banks risk-bearing capacity in assumed economic scenarios. Stress testing has become increasingly popular in recent years. Banks and authorities regularly do stress test calculations. Stress tests conducted in the United States have recently been widely discussed.
  • Svinhufvud, Kirsti; Korpiaho, Teija (2017)
    Valvottavien taloudellinen tila ja riskit
    • Suomalaiset vahinko- ja henkivakuutusyhtiöt tuloksissa keskitasoa • Suomalaisten henkivakuutusyhtiöiden tasetta dominoi sijoitussidonnainen vakuutus • Sijoitussidonnaisten vakuutusten suuri osuus näkyy myös sijoitusjakaumassa • Stressiskenaarioiden vaikutus • Double hit -skenaario • Pitkään jatkuvan matalan korkotason skenaario • EIOPAn suositukset