Thailand: Financial System Stability Assessment; imf country Report No. 19/308; September 10, 2019
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Banking Sector: Solvency Risk
Domain Assumptions Top-Down by Authorities Top-down by FSAP Team 6. Reporting Format for Results Output presentation • Macroeconomic scenarios for the macro-ST. • Results of the sensitivity tests on listed corporates and households. • Capital ratios pre and post-shock and capital shortfall, by bank (anonymized) and system wide. • Distribution of capital ratios: minimum, average, maximum. TH AI LAN D INT ER NA TIO NA L MO N ET AR Y F UN D 49 Banking Sector: Liquidity Risk Domain Assumptions Top-Down by Authorities Top-down by FSAP Team • Bank run and dry up of wholesale funding markets, taking into account haircuts to liquid assets. 5. Regulatory standards and Parameters • Regulatory: haircuts and run-off rates based on regulatory parameters. For LCR, see BCBS (2013), The Liquidity Coverage ratio and Liquidity Risk Monitoring Tools Basel, January 2013. Stressed: RAM severe scenario (one-month horizon for LCR Severe scenario). Inflow rates derived from projected NPL of solvency stress test. Haircuts are based on historical data of bond price movement as well as haircuts applied by BoT under the ELA framework. Run off rates are calibrated based on the percentile of the distribution of monthly changes in deposits where the percentile chosen mimics the weighted average of outflows during the 1997 Asian Crisis (where FSAP RAM was based upon in terms of degree of severity). • Regulatory: haircuts and run-off rates based on regulatory parameters. For LCR, see BCBS (2013), The Liquidity Coverage Ratio and Liquidity Risk Monitoring Tools Basel, January 2013. • Stressed: more severe haircuts under a political turmoil scenario and larger run-off rates to reflect more severe episodes of market and funding based on historical events. Regulatory standards • For the LCR phase in, the hurdle is set to 80 percent. • For the LCR , the hurdle is set to 100 percent. • For the cash-flow analysis, the hurdle rate is to have a non-negative cash balance. 6. Reporting Format for Results Output presentation • Number of banks that fail to meet the hurdle and their assets share in the banking sector. • Bank-level survival period in days, number of banks that still can meet their obligations. • Number of banks that fail to meet the hurdle and their assets share in the banking sector. • Bank-level survival period in days, number of banks that still can meet their obligations. |
