Morocco: Financial Sector Assessment Program: Technical Note-Stress Testing the Banking System

International Monetary Fund

No 2016/329, IMF Staff Country Reports from International Monetary Fund

Abstract: This Technical Note discusses the key findings of the stress testing of the banking system in Morocco. The stress tests examined the resilience of the Moroccan banking system to solvency, liquidity, and contagion risks. The global liquidity stress tests revealed that most banks in the system would be exposed to liquidity risks in the event of large deposit withdrawals, under a more severe scenario than the Basel III Liquidity Coverage Ratio metrics, or depletion of unsecured wholesale funding. Banks were found to be less vulnerable to direct contagion risk through bilateral exposure. The contagion risk analysis revealed that the risks stemming from domestic interbank exposures are very limited.

Keywords: ISCR; CR; central bank; capital ratio; real interest rate; sensitivity analysis; credit risk; NPL ratio; parent bank; stress test result; market value; interest income; Moroccan bank; banks in Morocco; foreign currency; hurdle rate; standby liquidity inflow; balance sheet size; Stress testing; Commercial banks; Credit risk; Nonperforming loans; Insurance companies; Global; Europe (search for similar items in EconPapers)
Pages: 65
Date: 2016-11-04
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