01893cas a2200253 a 4500 AALejournalIMF011703 230101c9999 xx r poo 0 0eng d 5.00 USD 9781475502220 1018-5941 BD-DhAAL BD-DhAAL Maino, Rodolfo. From Stress to Costress : Stress Testing Interconnected Banking Systems / Rodolfo Maino, Kalin Tintchev. Washington, D.C. : International Monetary Fund, 2012. 1 online resource (34 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This paper presents an integrated framework for assessing systemic risk. The framework models banks' capital asset ratios as a function of future losses and credit growth using a generalized method of moments to calibrate shocks to credit quality and credit growth. The analysis is complemented by a simple measure of systemic risk, which captures tail risk comovement among banks in the system. The main contribution of this paper is to advance a simple framework to integrate systemic risk scenarios that assess the impact of aggregate and idiosyncratic factors. The analysis is based on CreditRisk+, which uses analytical techniques-similar to those applied in the insurance industry - to estimate banks' credit portfolio loss distributions, making no assumptions about the cause of default. Mode of access: Internet Tintchev, Kalin. IMF Working Papers; Working Paper ; No. 2012/053 Full text available on IMF http://elibrary.imf.org/view/journals/001/2012/053/001.2012.issue-053-en.xml IMF e-Library