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Republic of Korea.

Author: International Monetary Fund Monetary and Capital Markets Department
Publisher: Washington : International Monetary Fund, 2015.
Series: IMF Staff Country Reports.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
The financial stability assessment under the Financial Sector Assessment Program (FSAP) forKorea was carried out in close collaboration with the authorities. The assessment included top- down (TD) and bottom-up (BU) stress testing of Korea's commercial banks and certain non-bank depository institutions (NBDIs); and evaluation of the potential contagion across banks (stemming both from funding pressures and potential  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Department, International Monetary Fund. Monetary and Capital Markets.
Republic of Korea: Financial Sector Assessment Program-Stress Testing And Financial Stability Analysis-Technical Note.
Washington : International Monetary Fund, ©2015
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: International Monetary Fund Monetary and Capital Markets Department
ISBN: 9781484310564 148431056X
OCLC Number: 904407721
Description: 1 online resource (76 pages).
Contents: Cover Page; Title Page; Copyright Page; Contents; Appendixes; Tables; Figures; Boxes; GLOSSARY; Executive Summary; Introduction; A. Background; 1. Volatility of Real Gross Domestic Product Growth Rate; 1. Global Financial Crisis: Korea Stabilization Policy Measures; 2. Distribution of Bank Capital Ratios; B. Key Risks and Vulnerabilities; 3. Bank Return on Assets Across Countries, 2012; 4. Corporate Sector Debt Repayment Risk-Debt at Risk; 5. Household Debt at Risk not Covered by Assets; C. Broad Framework of the FSAP Stress Testing Exercise. 2. Stress Testing Framework of the Korean AuthoritiesBanking Sector Solvency Stress Tests; A. Framework; B. Solvency Scenarios; 1. Projected and Stressed GDP; 6. Macroeconomic Scenario: GDP Path; 7. Probability of Default in Stress Scenarios; C. Results; 8. Commercial Banks: One-year Impact of Credit Costs; 9. Housing Price to Disposable Income, OECD Ccountries; 10. Commercial Banks: Market Risk; 11. Impact of Single-Factor Shocks on Banks' Capital Adequacy Ratios; D. Further Considerations; Banking Sector Liquidity Stress Tests; A. Framework for Top-down Stress Testing. 2. Top-down Liquidity Stress Test AssumptionsB. Results of Top-down Test; 12. Results of Top-down Liquidity Stress Test: Breakdown of 30-day Flows; 13. Top-down Foreign Exchange Liquidity Stress Test: Liquid Asset Ratios; C. Framework for the Bottom-up Tests; 3. Assumptions of Bottom-up Liquidity Stress Test; D. Results of the Bottom-up Stress Test; 14. Bottom-up Liquidity Stress Tests: Breakdown of 30-Day Cash Flows; Simple Stress Test of Non-Bank Depository Institutions; 4. Reverse Stress Tests of Non-bank Depository Institutions; Further Considerations. I. Overview of Korea's Financial SystemII. Bank Soundness and Stress Test Results; III. Solvency Test Assumptions; IV. Stress Test Matrices; Footnotes.
Series Title: IMF Staff Country Reports.

Abstract:

The financial stability assessment under the Financial Sector Assessment Program (FSAP) forKorea was carried out in close collaboration with the authorities. The assessment included top- down (TD) and bottom-up (BU) stress testing of Korea's commercial banks and certain non-bank depository institutions (NBDIs); and evaluation of the potential contagion across banks (stemming both from funding pressures and potential defaults). The FSAP team did not have access to confidential supervisory data for the stress tests and the contagion analyses. 2 The practice of withholding information in the conte.

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