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Republic of Korea : Financial sector assessment program-stress testing and financial stability analysis-technical note

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  • Republic of Korea
  • International Monetary Fund


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Title Republic of Korea
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Financial sector assessment program-stress testing and financial stability analysis-technical note

Material Type Reports
Publisher

Washington, DC:International Monetary Fund

Date 2015-01
Series Title; No Country Report / No. 15/6
Pages 44
Subject Country South Korea(Asia and Pacific)
Language English
File Type Link
Subject Economy < Financial Policy
Holding IMF

Abstract

The financial stability assessment under the Financial Sector Assessment Program (FSAP) for Korea was carried out in close collaboration with the authorities. The assessment included top- down (TD) and bottom-up (BU) stress testing of Korea’s commercial banks and certain non-bank depository institutions (NBDIs); and evaluation of the potential contagion across banks (stemming both from funding pressures and potential defaults). The FSAP team did not have access to confidential supervisory data for the stress tests and the contagion analyses.2 The practice of withholding information in the context of an FSAP, while undesirable, is also observed in other FSAPs. As a result, the analyses were carried out by the authorities in cooperation with participating banks, with the FSAP team performing extensive methodological and estimation validations of the results. The stress testing exercise included TD and BU stress tests of banks’ solvency and liquidity. (The rest omitted)