Israel: Technical Note on Stress Test of the Banking, Insurance and Pension Sectors

April 12, 2012

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Format: Chicago

Israel: Technical Note on Stress Test of the Banking, Insurance and Pension Sectors, (USA: International Monetary Fund, 2012) accessed November 26, 2024

Summary

A technical note on the stress test of Israel’s banking, insurance, and pension sectors is presented. The Israel Financial Sector Assessment Program Update stress testing exercise comprises a comprehensive analysis of solvency and liquidity risks of key banking and insurance institutions. Satellite models cover housing and corporate credit, household nonhousing credit, profit components, profit retention behavior, and haircut models of government and financial institution bonds. Single-factor tests have been conducted to estimate vulnerabilities to market risk and an idiosyncratic credit shock from exposures to the largest borrower groups and the three largest corporate borrowers.

Subject: Banking, Credit, Financial institutions, Financial sector policy and analysis, Financial statements, Insurance, Insurance companies, Money, Public financial management (PFM), Stress testing

Keywords: Asset return, Bank, BOI interest rate, CR, Credit, Credit risk, Default forecast, Equity return volatility, Fair value, Financial statements, Global, Insurance, Insurance companies, Interest rate, ISCR, Market value, Risk-adjusted balance sheet, Risk-adjusted balance sheet framework, Short interest, Stress testing

Publication Details

Pages:

58
Volume:

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DOI:

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Issue:

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Series:

Country Report No. 2012/088
Stock No:

1ISREA2012010
ISBN:

9781475503197
ISSN:

1934-7685

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