на главную поиск contacts

Systemic Risk Monitor: A Model for Systemic Risk Analysis and Stress Testing of Banking Systems

Опубликовано на портале: 17-12-2007
Financial Stability Report. 2006.  No. 11. P. 83-95. 
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.

Ключевые слова

См. также:
Gianni De Nicolo, Alexander F. Tieman
IMF ,Working Paper. 2006.  No. 06/296.
Alan J. Auerbach, Laurence J. Kotlikoff
Michael Boss, Gerald Krenn, Claus Puhr, Markus S. Schwaiger
Financial Stability Report. 2007.  No. 13. P. 115-134. 
Nicolae Danila
Theoretical and Applied Economics. 2007.  Vol. 6. No. 6. P. 73-92. 
Klaus J. Hopt, Patrick C. Leyens
ECGI - Law Working Paper. 2004.  No. 18.
Thomas Reininger, Zoltan Walko
Financial Stability Report. 2005.  No. 9. P. 110-126. 
З.Я. Файзуллаев
Вопросы экономики и права. 2011.  № 2. С. 215-218.