01677cas a2200253 a 4500 AALejournalIMF013495 230101c9999 xx r poo 0 0eng d 5.00 USD 9781484306314 1018-5941 BD-DhAAL BD-DhAAL Chan-Lau, Jorge. Market-Based Structural Top-Down Stress Tests of the Banking System / Jorge Chan-Lau. Washington, D.C. : International Monetary Fund, 2013. 1 online resource (18 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 Despite increased need for top-down stress tests of financial institutions, performing them is challenging owing to the absence of granular information on banks' trading and loan portfolios. To deal with these data shortcomings, this paper presents a market-based structural top-down stress testing methodology that relies in market-based measures of a bank's probability of default and structural models of default risk to infer the capital losses they could experience in stress scenarios. As an illustration, the methodology is applied to a set of banks in an advanced emerging market economy. Mode of access: Internet United States imf IMF Working Papers; Working Paper ; No. 2013/088 Full text available on IMF http://elibrary.imf.org/view/journals/001/2013/088/001.2013.issue-088-en.xml IMF e-Library