A. Solvency Stress Tests
7. The FSAP team and the BoT ran parallel solvency stress tests covering credit, market,
funding, and interest rate risks under two common macroeconomic scenarios. The exercise
covered eight commercial banks (the 5 D-SIBs and the three internal ratings-based (IRB) banks),
representing 75 percent of the
banking sector assets, with the cutoff
date of end-June 2018. The baseline
scenario reflects the June 2018 World
Economic Outlook (WEO)
macroeconomic projections (Table 6).
The adverse scenario represents a
tail-risk event and captures the key
macrofinancial risks identified in the
RAM. The adverse scenario assumes a
significant slowdown, similar to the
experience during the 1998 Asian
Crisis (Figure 8 and Table 6) and is
consistent with estimates based on
Growth-at-Risk (GaR). It is assumed
that the central bank would privilege
restoring growth—by cutting the
policy rate—over defending the currency, given the high level of international reserves and current
account surplus (and likely fall of imports in the adverse scenario).
2
Therefore, staff did not see a need to recommend a specific macroprudential tool targeting the corporate sector.
Figure 8. Thailand: Comparison Between Thailand
Macroeconomic Baseline and Stress Scenarios
The adverse scenario assumes a significant slowdown, similar to the
experience during the Asian crisis.
Sources: IMF staff estimates.
80.0
85.0
90.0
95.0
100.0
105.0
110.0
115.0
0
1
2
3
Baseline
Thailand Adverse
Asian Crisis (1996=100)
Asian Crisis: 2.4
cumulative std.
deviation
Adverse: 2.1
cumulative std.
deviation
THAILAND
INTERNATIONAL MONETARY FUND
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