IMF -对印度储备银行压力测试模型框架的审查和评估 India - Review and Evaluation of the Reserve Bank of Indias Stress Test Model Framework

HIGH-LEVELSUMMARY

TECHNICALASSISTANCEREPORT

INDIA

ReviewandEvaluationoftheReserveBankofIndia’sStressTestModelFramework

November2024

PreparedBy

MarcoGrossandWeiSun

DISCLAIMER

Thecontentsofthisdocumentconstituteahigh-levelsummaryoftechnicaladviceprovidedbythestaffoftheInternationalMonetaryFund(IMF)totheauthoritiesofamembercountryorinternationalagency(the"CDrecipient")inresponsetotheirrequestforcapacitydevelopment.UnlesstheCDrecipientspecificallyobjectswithin30businessdaysofitstransmittal,theIMFwillpublishthishigh-levelsummaryonIMF.org(see

StaffOperationalGuidanceontheDisseminationofCapacityDevelopmentInformation)

.

2024InternationalMonetaryFundHLS/24/40

High-LevelSummaryTechnicalAssistanceReport

MonetaryandCapitalMarketsDepartment

India:ReviewandEvaluationoftheReserveBankofIndia’sStressTestModelFramework

PreparedbyMarcoGrossandWeiSun

TheHigh-LevelSummaryTechnicalAssistanceReportseriesprovideshigh-levelsummariesoftheassistanceprovidedtoIMFcapacitydevelopmentrecipients,describingthehigh-level

objectives,findings,andrecommendations.

ABSTRACT:Thisreportprovidesabriefsummaryofthepurposeandfindingsofatechnicalassistance(TA)missionthatwasintendedtoreviewandevaluatetheReserveBankofIndia(RBI)’sstresstest

modelsuite,whichtookplaceinApril2023.TheRBI’smodelsuitewasfoundtobestrongandwell

developedinnumerousrespects.Themostnoteworthyrecommendationspertaintocreditrisk,marketrisk,andmacro-financialscenariodesign.Adetailedlistof28recommendationsspanningallareaswasleftwiththeRBI.AdetailedTAreportaccompaniesthisbriefsummaryreport.

JELClassificationNumbers:G21,G22,G23

Keywords:Banksolvencyriskanalysis,liquidityriskanalysis,contagionanalysis

IMF|High-LevelSummaryTechnicalAssistanceReport–IndiaStressTestModelFramework|3

Background

TheTechnicalAssistance(TA)missiontookplaceinApril2023.ItwasorganizeduponenquiryfromtheReserveBankofIndia(RBI)toletitsstresstestmodelsuitebereviewedandevaluatedbytheIMF.ThemissionteamcomprisedMr.MarcoGross(TAmissionlead)andMs.WeiSun;bothfromthe

MonetaryandCapitalMarketsDepartmentoftheIMF.ThemissionteamvisitedRBI’sheadquartersinMumbai,India,fromApril3-12,2023.

SummaryofFindings

ThemissionpurposewasfortheIMFtoprovideathoroughreviewoftheReserveBankofIndia

(RBI)’sanalyticalcapacityandmodelsuiteforsolvencyriskanalysis,liquidityriskanalysis,and

balancesheetconnectednessofbanks(alongsidenon-bankfinancialinstitutions,NBFIs).TheRBIprovidedtheIMFteamwithallavailabledocumentation,intheformofdocumentsandthroughslide

showsanddetaileddiscussionsduringameetingseriesthatspannedtenworkingdays.Towardthelaterphaseofthemissionwindow,theIMFteamprovidedRBIstaffwithanoverviewofwhatitconsidersbestpractice(attheFundandbydrawingonpracticesinothercountries)intheabove-mentionedareas.

TheIMFalsoprovidedtheRBIwithaprimeronclimateriskanalysis.AttherequestoftheRBI,theteamdeliveredathree-hoursessiononclimateriskanalysis.ItservedtoprovidetheRBIwithan

understandingofhowtogoaboutclimateriskanalysis,includingdata,analyticaltools,andmodels;

includingwithIndia-specificresearchconductedaheadofthemeetingbyIMFstaff,toplacealldiscussionsinanIndia-specificcontext.

SummaryofRecommendations

RBI’smodelsuitewasfoundtobewelldevelopedinnumerousrespects.Threepositivefindings

include:(1)Allprimarydatabases,includingsupervisorydata,requiredforsystemicriskanalysiswere

foundtobewellmaintainedanddatacan“flowfreely”betweenthedepartmentsthatrequireaccesstoit;(2)thesystemicriskanalysiscoversawiderangeofrisksandinstitutionsbeyondbanks,including

insurers,mutualfunds,andcentralcounterparties;and(3)itsstructuralnetwork-contagionmoduleis

strong,buildingonalongtimeseries(since2010)ofbilateralexposuredatamatricesthatspannumerousfinancialexposuretypesandbeyondbanksalsopensionfunds,insurancefirms,housingfinance

companies,andotherNBFItypes.

Themostnoteworthyrecommendationspertaintocreditrisk,marketrisk,andmacro-financial

scenariodesign.Thecreditriskmodelcomponentwasfoundtoconsistofvariouselementsthatare

individuallysoundbutare,tosomeextent,inconsistentinconjunction.Therelatedrecommendationwastosimplifythesemodelelementsandmakethemconsistent(varioussuggestionsareincludedinthe

detailedTAreport).Amarketriskcomponent—inparticularregardinginterestraterisk—wasfoundtobecapturedonlyindirectlyanditwasrecommendedtobeproperlydevelopedandintegratedinthesolvencyandliquidityriskmodels.RBI’smacro-financialscenariodesignatpresententailsastatisticalapproachwitha1-yearhorizon;recommendationsforhowtoextendit(regardingnarrativedesign,theuseof

models,andhorizonsbeyondthecurrent1-year)wereleftwiththeRBI.

Adetailedlistof28recommendationsspanningallareaswasleftwiththeRBI.TherationaleunderlyingallrecommendationsislaidoutintheTAreportthatwasleftwiththeRBIforreview.Thefi