Global Bank Stress Test-2021-11-08-CEF

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Results: Capital Depletion (drivers and delta between scenarios) Aggregated by: • Bank • Group of Banks • Country • Group of Countries • Any other weighted scheme 14
Results as Published in October 2020 GFSR • Banks in much stronger position to deal with impact of the pandemic than they were on the eve of the global financial crisis • Reaffirm efficacy of post-GFC Basel reforms • Important variation in resilience across banks and banking systems Source: IMF GFSR, October 2020, Chapter 4. 15
Page 1 and 2: The IMF’s Global Bank Stress Test
Page 3 and 4: The GST and its Purpose • Conduct
Page 5 and 6: What is a Global Bank Stress test
Page 7 and 8: Reminder: How do Solvency Stress Te
Page 9 and 10: Econometric Model Components • Pa
Page 11 and 12: Data Inputs • Publicly available
Page 13: RWA Modeling • Source loan book-t
Page 17 and 18: Results: Drivers of Changes in CET1
Page 19 and 20: Change in CET1 ratio \2 Illustrativ
Page 21 and 22: The GST Tool • User friendly Exce
Page 23 and 24: Results: Impact on CET1 Ratio (by g
Page 25 and 26: Current Work: Sectorization of Loan
Page 27 and 28: Strengths and Weaknesses of the GST
Page 29 and 30: Additional slides: Behind the Scene
Page 31 and 32: Bank Data Cleaning & Preparation -
Page 33 and 34: Econometric Methodology: Panel BMA

Global Bank Stress Test-2021-11-08-CEF

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