THAILAND
INTERNATIONAL
MONETARY FUND
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moderate, and a reverse stress test indicates that the default of the five largest borrowers would
cause two banks to breach the Tier 1 requirements, and one bank would breach the required
threshold with the default of top three borrowers. Improving
the analytical approach to
concentration risk is recommended, including by developing analytical tools to assess its
implications on systemic risk. Market risk is also moderate for most banks. A historical simulation of
foreign exchange (FX) losses suggests that exchange rate risk is small, partly reflecting net open
position limits (and indirect FX risk is likely to be low given the modest share of FX loans for most
banks). While risks from the residential property market are difficult to assess due to limited data,
3
the FSAP team’s estimate point to a likely steady increase in the debt service-to-income (DSTI) ratios
in the past five years across all income brackets (see Figure 11 on loan-to-value (LTV) and DSTI
ratios on mortgages). SFIs’ exposure to interest rate risks appears to be significant.
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