Denmark: Financial Sector Assessment Program: Technical Note: Stress Testing

International Monetary Fund

No 2007/125, IMF Staff Country Reports from International Monetary Fund

Abstract: This technical note describes the stress testing exercises carried out for the Danish commercial banking system and the insurance sector. The tests were conducted as part of the Financial Sector Assessment Program for Denmark and were developed in collaboration with the Danish Financial Supervisory Agency (DFSA) and Danmarks Nationalbank (DNB). Two approaches—bottom-up and top-down—were employed in the analysis. Results of the stress test show that under changing macroeconomic conditions, credit risk could materialize, causing a substantial deterioration in banks’ results.

Keywords: ISCR; CR; loan portfolio; staff estimation; bank concentration; portfolio credit risk stress tests; model validation; foreign exchange; yield curve; capital base; unexpected loss; banks funding; credit risk measurement; Credit risk; Stress testing; Loans; Market risk; Credit; Europe (search for similar items in EconPapers)
Pages: 44
Date: 2007-03-23
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