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Sweden : Financial Sector Assessment Program : Technical note, stress testing.

Author: International Monetary Fund. Monetary and Capital Markets Department,
Publisher: Washington, D.C. : International Monetary Fund, [2017] ©2017
Series: IMF country report, no. 17/309.
Edition/Format:   eBook : Document : English
Summary:
Stress tests covered three major segments of the domestic financial sector, with an emphasis on the largest financial institutions. Within the banking industry, this included the four largest banks that together constitute over 75 percent of the banking system by assets; the four largest life insurance providers and three non-life insurers, with 78 and 53 percent market share in terms of gross written premiums,  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print Version:
Sweden: Financial Sector Assessment Program-Technical Note-Stress Testing.
Washington, D.C. : International Monetary Fund,2017
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: International Monetary Fund. Monetary and Capital Markets Department,
ISBN: 1484322827 9781484322826 1484322479 9781484322475
ISSN:1934-7685
OCLC Number: 1007846378
Description: 1 online resource (92 pages).
Contents: ""Cover""; ""CONTENTS""; ""Glossary""; ""EXECUTIVE SUMMARY""; ""INTRODUCTION""; ""SCENARIOS""; ""IMF'S TOP-DOWN SOLVENCY STRESS TESTS OF BANKS""; ""A. Data and Scope of the Test""; ""B. Four Largest Banks: Overview""; ""C. Capital Standards""; ""D. Projection of Risk-Weighted Assets Over the Scenarios""; ""E. Models and Behavioral Assumptions""; ""F. Balance Sheet Growth Projections""; ""G. Loan Losses and Net Income Projections""; ""H. Capital Action Assumptions""; ""I. Single Factor Tests and Sensitivity Checks for Banks""; ""J. Results"" ""BOTTOM UP (EBA) AND THE AUTHORITIES' SOLVENCY STRESS TESTS OF BANKS""""A. Bottom Up Stress Test""; ""B. The Authorities Stress Test""; ""C. Recommendations""; ""LIQUIDITY STRESS TESTS FOR BANKS""; ""A. Assumptions""; ""B. Results""; ""C. Recommendations""; ""NETWORK ANALYSIS FOR BANKS""; ""SOLVENCY STRESS TESTS OF INSURANCE COMPANIES""; ""A. Scope of the Test""; ""B. Scenario Specification""; ""C. Capital Standards and Modelling Assumptions""; ""D. Results""; ""E. Low-for-long""; ""LIQUIDITY STRESS TEST OF INVESTMENT FUNDS (IMF'S TOP DOWN)""; ""FIGURES"" ""1. Stress Scenario and Previous Recessions in Sweden and Denmark""""2. Balance Sheet and Income Statement Information, Four Largest Banks""; ""3. Stress Testing Results: Stress Scenario, IMF Top-down""; ""4. Stress Testing Results: Baseline Scenario, IMF Top-down""; ""5. Sensitivity Analyses""; ""6. Corporate Sector Stress Test Based on the ICR""; ""7. CCA Stress Test Results""; ""8. Stress Testing Results: Stress Scenario, Bottom-up""; ""9. Credit Losses in the Bottom-up Stress Test""; ""10. Stress Testing Results: Stress Scenario, Authorities' Top-down""; ""11. The LCR Test"" ""12. The Proxy NSFR Test""""13. Network Analysis with Credit and Funding Shocks""; ""14. Interest Rate Shock""; ""15. Overview of Insurance ST Results""; ""16. Composition of the Effect on Own Funds in Scenario 2 (top-down)""; ""17. Breakdown of the Bond Portfolio""; ""18. Medium-term Projections""; ""19. Sensitivity Analyses""; ""20. Net contractual Cash Flows in Life Insurance (SEK mln)""; ""21. Reinvestment Risks""; ""22. Investment Funds' Assets""; ""23. The Waterfall Approach""; ""24. Results of the Stress Test""; ""25. Structure of Covered Bonds and Corporate Bonds' Markets"" ""TABLES""""1. Stress Testing Recommendations""; ""2. Summary of FSAP Stress Tests""; ""3. Baseline and Stress Scenario""; ""4. Hurdle Rates""; ""5. Asset Classes Mapping for Calculation of Credit RWAs""; ""6. IMF Top-down Approach""; ""7. Dividends Distribution Schedule""; ""8. Interest Rate Shock in the Banking Book (IRRBB)""; ""9. Market Risk Shock in the Trading Book, AFS securities and CVA""; ""10. Differences Between Solvency Stress Testing Approaches""; ""11. LCR Calibration""; ""12. Proxy NSFR Calibration""
Series Title: IMF country report, no. 17/309.

Abstract:

Stress tests covered three major segments of the domestic financial sector, with an emphasis on the largest financial institutions. Within the banking industry, this included the four largest banks that together constitute over 75 percent of the banking system by assets; the four largest life insurance providers and three non-life insurers, with 78 and 53 percent market share in terms of gross written premiums, respectively; and around 850 investment funds representing 95 percent of the industry's total net assets. Stress tests of non-financial corporations were also implemented and were used to validate corporate inputs used in the banking stress tests.

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