In 2002 the Oesterreichische Nationalbank (OeNB) launched in parallel several projects
to develop modern tools for systemic financial stability analysis, off-site banking
supervision and supervisory data analysis. In these projects the OeNB’s expertise
in financial analysis and research was combined with expertise from the Austrian
Financial Market Authority (FMA) and from academia. Systemic Risk Monitor (SRM) is
part of this effort. SRM is a model to analyze banking supervision data and data
from the Major Loans Register collected at the OeNB in an integrated quantitative
risk management framework to assess systemic risk in the Austrian banking system
at a quarterly frequency. SRM is also used to perform regular stress testing exercises.
This paper gives an overview of the general ideas used by SRM and shows some of its
applications to a recent Austrian dataset.