Austria: Financial Sector Assessment Program Technical Note: Stress Testing and Short-Term Vulnerabilities

International Monetary Fund

No 2008/204, IMF Staff Country Reports from International Monetary Fund

Abstract: This technical note focuses on the Austrian banking system that exhibits considerable resilience against shocks determined by stress tests. The main sources of risk lie in the credit risk arising from exposures to Central, Eastern, and Southeastern Europe (CESE) and the Commonwealth of Independent States (CIS), indirect credit risk from foreign currency lending, and credit risk from domestic lending. The Austrian banking systems exhibits ample liquidity. In-depth discussions with the larger banks show that their modeling capacities vary.

Keywords: ISCR; CR; bank profit; Österreichische Postsparkasse AG; TD estimate; credit loss; top-down analysis; banks' calculation; profit net; TD model; für Arbeit und Wirtschaft und Österreichische Postsparkasse AG; TD analysis; TD approach; banks to the stress scenario; Stress testing; Credit risk; Market risk; Loans; Credit; Global (search for similar items in EconPapers)
Pages: 38
Date: 2008-07-02
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