SWITZERLAND
INTERNATIONAL
MONETARY FUND
21
Figure 8. Switzerland: Banking Sector Stress Test Results—Large Banks CET1 Ratio
(In percent of total RWA)
IMF TD Stress Test (a)
“Adverse Scenario 1”
IMF TD Stress Test (a)
“Adverse Scenario 2”
IMF TD Stress Test (a)
“Adverse Scenario 3”
Authorities TD Stress Test (b)
“Adverse Scenario 1”
Authorities TD Stress Test (b)
“Adverse Scenario 2”
Authorities TD Stress Test (b)
“Adverse Scenario 3”
Bottom-Up Stress Test (c)
“Adverse Scenario 1”
Bottom-Up Stress Test (c)
“Adverse Scenario 2”
Bottom-Up Stress Test (c)
“Adverse Scenario 3”
Source: Authorities and IMF staff calculations.
Notes:
“PI” denotes the use of CET1 capital allowing for the “phase-in” transition period embedded in Basel III rules.
”FL” stands for “fully loaded” CET1 capital, using the 2019 definition under Basel III rules.
(a) IMF TD stress tests carried out using both “phased-in CET1” and “fully loaded CET1” (2019 definition).
(b) Authorities TD stress tests carried out using “fully loaded CET1” (2019 definition).
(c) Banks’ BU stress tests carried out using both “phased-in CET1” and “fully loaded CET1” (2019 definition).
Differences among these results are due to differences
in data inputs and granularity, estimated parameters and elasticities, selection of
key drivers of risk parameters and their corresponding sensitivities, and modeling framework
and methodologies, among other factors.
In particular, different stress tests yield similar results for the years 2014 and 2015 (when the shocks occur within
the macroeconomic
scenarios); however, these tend to differ in the outer years (2016–2017). This is mainly due to differences in
the income elasticities and
the fact that authorities tend to model RWAs more smoothly (i.e., with longer lags) than the RWAs modeled by the FSAP team, which are
directly linked to contemporaneous changes in risk parameters (e.g., probabilities of default (PDs) and losses given default (LGDs)), which
are highly dependent on current conditions.
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