2017年-IMF国际货币组织全球_Japan_Financial_Sector_Assessment_Program_126页_2mb

Summary of Japan Financial Sector Assessment Program (FSAP) Technical Note: Systemic Risk Analysis and Stress Testing

Core Content

This technical note provides an analysis of systemic risk and stress testing in Japan's financial sector, conducted as part of the International Monetary Fund (IMF) Financial Sector Assessment Program (FSAP). The study assesses the resilience of the financial system to macrofinancial shocks and evaluates the potential for contagion and interconnectedness among financial institutions.

Main Findings

1. Financial System Overview

• Japan has a large and sophisticated financial system, with total financial assets reaching 620% of GDP in 2016.
• Financial conglomerates hold about 170% of GDP, and the four largest financial groups account for 136% of GDP.
• Commercial banks hold more than 50% of total financial assets, followed by insurance companies (15%), pension funds (8%), securities firms (5%), and investment trusts (6%).
• Banks are the main financial intermediaries, with city banks (including three G-SIBs), trust banks, regional banks, and Shinkin banks as key components.
• Insurance is highly concentrated, with life insurance dominating the sector (about 90% of total assets) and non-life insurance also significant.

2. Stress Testing Approach

• The FSAP stress testing program uses a macroprudential approach, focusing on the systemic resilience of the financial system rather than individual institutions.
• Top-down (TD) and bottom-up (BU) stress tests were conducted for banks and insurance companies.
• The stress tests examine solvency, liquidity, and contagion risks under different macroeconomic scenarios.

3. Macroeconomic Scenarios

• Three scenarios were analyzed:
  • Baseline: Normal economic conditions.
  • Moderate Adverse ("De-Globalization"): Reduced global trade and moderate financial shocks.
  • Severe Adverse ("Accelerated U.S. Monetary Policy Normalization"): Sharp increase in interest rates, risk premiums, and decline in equity prices.
• These scenarios aim to simulate extreme but plausible "tail events" based on historical data and expert judgment.

Key Results

1. Banking Sector Solvency Stress Tests

• 20 large banks (representing 90% of banking system assets) were included in the TD stress test.
• Solvency ratios (CET1) would drop to 8.3% under the severe adverse scenario, indicating a potential risk to the banking system.
• Credit losses and market-related losses (due to bond valuation effects and equity price declines) are the primary drivers of capital erosion.
• Regional banks are more vulnerable than national banks due to higher overhead costs and less diversified loan portfolios.
• Equity and market risk are the most important risk factors for large banks.

2. Banking Sector Liquidity Stress Tests

• Liquidity coverage ratios (LCR) are generally robust, with all banks in the sample having LCRs above 100%.
• However, system-wide LCR in U.S. dollars is below 60%, indicating potential liquidity issues in foreign currency.
• Internationally active banks rely heavily on wholesale funding in U.S. dollars and euros, which are more volatile than yen-based funding.
• Funding concentration and foreign currency exposure are key vulnerabilities, especially for regional banks.

3. Insurance Sector Stress Tests

• Seven life insurers and six non-life insurers were tested, covering 73% and 92% of the respective sectors.
• Life insurers are more sensitive to interest rate changes, leading to a substantial decline in solvency margin ratio (SMR) under adverse scenarios.
  • SMR drops from 949% to 708% in the moderate adverse scenario and to 419% in the severe adverse scenario.
• Non-life insurers are more resilient, with less marked declines in SMR.
• Natural disasters (e.g., earthquakes, typhoons) are a significant risk for non-life insurers, though the sector shows resilience to large single events.
• Economic solvency ratios (ESR) are lower than statutory SMRs, suggesting the need for improved solvency regimes and capital buffers.

4. Contagion and Spillovers

• Financial shocks propagate primarily through client and investor bases, with strong links between financial and non-financial firms amplifying spillovers.
• Cross-shareholding and foreign market exposure contribute to interconnectedness.
• Financial firms with stronger balance sheets are less vulnerable to spillovers, especially those with less reliance on wholesale funding and higher institutional ownership (as a proxy for better governance).

Recommendations

1. FSAP Main Recommendations

• Continue assessing the impact of default by largest borrowers on the banking system.
• Implement a multi-year top-down scenario stress testing framework for banks and insurance companies.
• Improve data consistency, particularly between FX maturity mismatch and liquidity coverage ratios (LCR).
• Conduct regular liquidity stress tests with significant foreign currencies and require banks to hold sufficient counterbalancing capacity, especially high-quality liquid assets (HQLA).
• Intensify supervision on FX funding liquidity risk, including caps on funding concentration and adjustments to HQLA based on foreign jurisdiction requirements.
• Collect and analyze interconnectedness data as part of financial supervision tools.
• Use insurance stress test results to validate and benchmark Own Risk and Solvency Assessment (ORSA) reports.

Conclusion

• Japan's financial system is generally resilient to short-term risks, but pockets of vulnerability exist, particularly among regional banks and life insurers.
• Equity and market risk losses are the most significant threats to large banks, while credit risk is the primary concern for regional banks.
• Contagion risks are primarily driven by interconnectedness and shared exposures.
• The study emphasizes the importance of enhancing data consistency, improving solvency regimes, and strengthening capital buffers to better withstand future shocks.