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RBA Glossary definition for RBA
RBA – Reserve Bank of Australia. Australia's central bank, the body corporate successor to the Commonwealth Bank established in 1912; created under its new name by the Reserve Bank Act 1959.
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Macrofinancial Stress Testing on Australian Banks
20 Sep 2022
RDP
2022-03
The Reserve Bank of Australia's (RBA) macrofinancial bank stress testing model is an example of this, enabling the RBA to analyse potential financial risks to Australia's banking sector, such
https://www.rba.gov.au/publications/rdp/2022/2022-03.html
Appendix A: Model Specifications
20 Sep 2022
RDP
2022-03
RDP 2022-03: Macrofinancial Stress Testing on Australian Banks Appendix A: Model Specifications. Nicholas Garvin, Samuel Kurian, Mike Major and David Norman. September 2022. Download the Paper 2,027. KB. This appendix presents a set of technical
https://www.rba.gov.au/publications/rdp/2022/2022-03/appendix-a.html
Macrofinancial Stress Testing on Australian Banks
20 Sep 2022
RDP
2022-03
The specific ICR threshold below which a firm is assumed to default is set at just under 2 times, based on Reserve Bank of Australia (RBA) internal research confirming an ICR ... These ranges are set based on information gleaned from RBA liaison with
https://www.rba.gov.au/publications/rdp/2022/2022-03/full.html
Future Work
20 Sep 2022
RDP
2022-03
The Financial Stability Department of the RBA will continue to refine the model over time to ensure its usefulness as an analytical tool improves over time.
https://www.rba.gov.au/publications/rdp/2022/2022-03/future-work.html
Macrofinancial Stress Testing on Australian Banks
20 Sep 2022
RDP
2022-03
Yap. We are also grateful to Michelle Lewis, Grant Turner, John Simon, Jonathan Kearns, Callan Windsor and RBA seminar participants for helpful comments on this paper.
https://www.rba.gov.au/publications/rdp/2022/2022-03/sections.html
Model Framework
20 Sep 2022
RDP
2022-03
RDP 2022-03: Macrofinancial Stress Testing on Australian Banks 2. Model Framework. Nicholas Garvin, Samuel Kurian, Mike Major and David Norman. September 2022. Download the Paper 2,027. KB. At its heart, the stress testing model involves estimating
https://www.rba.gov.au/publications/rdp/2022/2022-03/model-framework.html
References
20 Sep 2022
RDP
2022-03
Fernandes K and D Jones (2018), ‘The Reserve Bank's Securitisation Dataset’, RBA Bulletin, December. ... Garvin N (2019), ‘Emergency Liquidity Injections’, RBA Research Discussion Paper No 2019-10.
https://www.rba.gov.au/publications/rdp/2022/2022-03/references.html
Read me file
20 Sep 2022
RDP
2022-03
The model detailed in the RDP uses confidential data provided by banks to APRA and from the RBA's Securitisation Dataset. ... Default_settings_function.R generates the default model parameters for each model run. Data_import_functions.R imports the
https://www.rba.gov.au/publications/rdp/2022/2022-03/read-me.html
Introduction
20 Sep 2022
RDP
2022-03
RDP 2022-03: Macrofinancial Stress Testing on Australian Banks 1. Introduction. Nicholas Garvin, Samuel Kurian, Mike Major and David Norman. September 2022. Download the Paper 2,027. KB. The failure of systemically important banks can have
https://www.rba.gov.au/publications/rdp/2022/2022-03/introduction.html
Capital and Asset Growth
20 Sep 2022
RDP
2022-03
RDP 2022-03: Macrofinancial Stress Testing on Australian Banks 4. Capital and Asset Growth. Nicholas Garvin, Samuel Kurian, Mike Major and David Norman. September 2022. Download the Paper 2,027. KB. Having determined the amount of profit banks make,
https://www.rba.gov.au/publications/rdp/2022/2022-03/capital-and-asset-growth.html