Germany: Technical Note on Stress Testing

International Monetary Fund

No 2011/371, IMF Staff Country Reports from International Monetary Fund

Abstract: This note summarizes the stress tests undertaken for the German banking system as part of the Financial Sector Assessment Program (FSAP) update. Solvency tests for the German banking system assessed medium-term vulnerabilities under two adverse macroeconomic scenarios. The tests considered a variety of measures of soundness, and took into account funding costs, sovereign risk, upcoming changes in the regulatory rules, and behavioral changes of banks. The test results revealed that German banks are robust against many shocks, and that important vulnerabilities still remain.

Keywords: ISCR; CR; bank; capital ratio; capital; Tier 1; put option; debt holder; Grouping bank; banking system; percentage share; bank liability; large bank; conservation buffer; bank's CDS; sensitivity analysis; credit risk; Stress testing; Basel III; Systemic risk; Capital adequacy requirements; Personal income; Global (search for similar items in EconPapers)
Pages: 66
Date: 2011-12-23
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Citations: View citations in EconPapers (5)

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