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RBA Glossary definition for IT
IT – Information Technology
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Macrofinancial Stress Testing on Australian Banks
20 Sep 2022
RDP
2022-03
It is designed with a focus on understanding systemic vulnerabilities and a philosophy of prioritising transparency over complexity. ... The paper sets out the key features of this model, how it was used during the past two years and the areas in which
https://www.rba.gov.au/publications/rdp/2022/2022-03.html
Appendix A: Model Specifications
20 Sep 2022
RDP
2022-03
The first component, net interest income ( NetIntInc. it. ), is further separated into interest income ( IntInc. ... it. –1. ), which is the combination of all the remaining securities asset classes.
https://www.rba.gov.au/publications/rdp/2022/2022-03/appendix-a.html
Model Framework
20 Sep 2022
RDP
2022-03
It is motivated by an aim of observing how well banks can withstand stress without needing to take drastic action (i.e. ... In practice, it is very unlikely that a bank will restrict AT1 coupons unless it comes under severe stress.
https://www.rba.gov.au/publications/rdp/2022/2022-03/model-framework.html
Macrofinancial Stress Testing on Australian Banks
20 Sep 2022
RDP
2022-03
A philosophy of not over-engineering the model and keeping it relatively simple and transparent. ... As a result, it typically exacerbates the pace of decline that banks experience.
https://www.rba.gov.au/publications/rdp/2022/2022-03/full.html
Credit Loss Modelling
20 Sep 2022
RDP
2022-03
It also enables the scenario to incorporate changes in interest rates or fiscal policy, if desired. ... As a result, it typically exacerbates the pace of decline that banks experience.
https://www.rba.gov.au/publications/rdp/2022/2022-03/credit-loss-modelling.html
Contagion Modelling and Feedback Loops
20 Sep 2022
RDP
2022-03
It is possible that such fire sales could have adverse effects on other banks' capital ratios as well. ... Nonetheless, there are three reasons why it is worth considering the potential for fire sales.
https://www.rba.gov.au/publications/rdp/2022/2022-03/contagion-modelling-and-feedback-loops.html
Capital and Asset Growth
20 Sep 2022
RDP
2022-03
If a bank makes a profit in the period, but its CET1 ratio is below the threshold for unconstrained dividend payments, then it pays a constrained dividend. ... 4). If a bank makes a loss, then it pays no dividend, regardless of the level of its CET1 ratio
https://www.rba.gov.au/publications/rdp/2022/2022-03/capital-and-asset-growth.html
Introduction
20 Sep 2022
RDP
2022-03
A philosophy of not over-engineering the model and keeping it relatively simple and transparent. ... This paper documents the key features of the model, including plans for how it will most likely evolve in the future.
https://www.rba.gov.au/publications/rdp/2022/2022-03/introduction.html
Non-technical summary for ‘The Rise in Household Liquidity’
20 Sep 2022
RDP
2022-03
In a stress test, it is typically assumed that the economy enters a ‘severe but plausible’ downturn in which unemployment rises significantly and property prices fall sharply. ... It also shows how the model was useful in a real-world crisis, at the
https://www.rba.gov.au/publications/rdp/2022/2022-03/non-technical-summary.html
How the Model Was Used during COVID-19
20 Sep 2022
RDP
2022-03
and so it takes very extreme shocks to move a large share of loans into a position of negative equity. ... This outcome is a direct result of the resilience that comes from banks' underlying profitability: when the economy weakens over a prolonged period,
https://www.rba.gov.au/publications/rdp/2022/2022-03/how-the-model-was-used-during-covid-19.html