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ecb.wp3091~14b4b70e5f.en.pdf

Here are the key points:

Summary

The document is a working paper by the European Central Bank (ECB) titled "Stress Testing the South African Financial System". The authors, Garbrand Wiersema, Alissa M. Kleinnijenhuis, Esti Kemp, and Thom Wetzer, use a scenario-free stress testing approach to analyze the interconnectedness of the South African financial system.

Key Points

  1. The authors reconstruct an interbank network using data from 2015-2020.
  2. They calculate exposures up to 5th order for individual banks and funds (FoFs).
  3. The results show that higher-order exposures cannot be proxied by "scaled" first-order exposures in general.
  4. FoFs have strong variation across second- and fifth-order exposures, highlighting the need for explicit modeling of individual FoFs.
  5. Ignoring defaulted institutions' losses does not significantly impact the results.

Acknowledgments

The authors thank several individuals and organizations for their feedback and discussions.

Notes

  1. The document is a working paper and should not be reported as representing the views of the European Central Bank (ECB).
  2. Garbrand Wiersema, Alissa M. Kleinnijenhuis, Esti Kemp, and Thom Wetzer are the authors.
  3. The paper can be downloaded from the ECB's website or other electronic libraries.

Published: 2016-07-04 · Source: ECB

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