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Sweden :, Financial Sector Assessment Program Update: Technical Note on Stress Testing of the Banking Sector

Label
Sweden :, Financial Sector Assessment Program Update: Technical Note on Stress Testing of the Banking Sector
Language
eng
Abstract
Although Sweden has recovered from the financial crisis, authorities have already initiated exit measures from crisis response policies. The Financial Sector Assessment Program (FSAP) Update undertook a financial stability analysis of the banking sector, including a comprehensive stress-testing exercise of banks’ solvency and liquidity positions. While the banking sector appears resilient to credit risk stress tests, liquidity stress test results reveal some weaknesses owing to its heavy reliance on wholesale funding. Swedish bank groups have extensive cross-border activities, mostly in the Scandinavian and Baltic regions
Bibliography note
Includes bibliographical references
resource.governmentPublication
international or intergovernmental publication
Literary Form
non fiction
Main title
Sweden :
Nature of contents
dictionaries
Series statement
IMF Staff Country Reports
Sub title
Financial Sector Assessment Program Update: Technical Note on Stress Testing of the Banking Sector
Table Of Contents
Cover; Contents; Glossary; I. Executive Summary; II. Structure and Soundness of the Banking Sector; Figures; 1. Banks' Asset Allocation; 2. Major Swedish Banks Funding Structure; III. Top-Down Banking Stress Tests; A. Macro Stress Tests; Macroeconomic scenarios; Credit risk models; Sovereign risk losses; Profits and funding costs; Dividend payout; Macro credit stress-test results; B. Liquidity Risk Stress Tests; C. Large Exposures and Contagion Risk; IV. Conclusions and Recommendations; Tables; 1. The Core Set of Financial Soundness Indicators for Banks, 2003-102. Funding Cost and Other Earnings Assumptions3. Assumptions for Short-Term Liquidity Measure; 4. Assumptions for Structural Liquidity Measure; 5. Summary of Macro Stress Testing Results, 2011-15; 6. Concentration Risk Stress-Test Results; 3. Selected Western European Countries: Banking Sector Financial Soundness Indicators, 2010; 4. Market Indicators for the Four Major Banks, 2007-10; 5. Macroeconomic Assumptions in Macro-Stress Tests; 6. Macro Stress-Test Results, 2011-15; 7. Aggregate Macro Stress-Test Results, 2010-15; 8. Structural Liquidity Stress-Test Results, June 2010; AppendicesI. The Credit Risk Models Used for the FSAP UpdateAppendix Tables; 7. Geographic and Loan Portfolio Allocation Used in Riksbank's Credit-Risk Models; II. Sovereign Haircut Calculations; III. Basel III New Capital Requirements; 8. Overview on the Basel III Minimum Capital Requirements; 9. Individual Bank Minimum Capital Conservation Standards; 10. Individual Bank Minimum Capital Conservation Standards, When a Bank is Subject to a 2.5 Percent Countercyclical Requirement
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