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1、SolvencyevaluationoftheguarantyfundatalargefinancialcooperativeJeanRoyAbstract.ThispaperreportsonaconsultingprojectwhoseobjectivewastoevaluatethesolvencyoftheguarantyfundoftheMouvementDesjardins,alargefederationoffinancialcooperativesbasedinQuebec,Canada.Theguarantyfundactsas
2、aninternalmutualinsurancecompany;itcollectspremiumsfromthe570localcreditunionsofthefederationandwouldprovidefundstoanyoftheselocalcreditunionsfacingfinancialdifficulties.Atthetimeofthestudy,theassetsoftheinsuredcreditunionstotalled79billionCA$andthefundhadacapitalof523million
3、CA$.Thepurposeofthestudywastoestimatetheprobabilityofinsolvencyofthefundovervarioushorizonsrangingfromoneto15years.Twoverydifferentapproacheswereusedtoobtainsomeformofcross-validation.Firstly,underthehighlyaggregatedapproach,threetheoreticalstatisticaldistributionswerefitted
4、onthe25historicalyearlyratesofsubsidy.Secondly,ahighlydisaggregatedMonte-Carlosimulationmodelwasbuilttorepresentthefinancialdynamicsofeachcreditunionandtheguarantyfunditself,takingintoaccountsome150parametersforeachcreditunion.Bothapproachesconvergedtosimilarprobabilitiesofi
5、nsolvencyforthefund,whichindicatedthatthefundwaswellwithinanimplicitAAArating.Thestudyhadseveralsignificantfinancialimpactsbothinternallyandexternally.Keywords:solvencyanalysis,financialcooperatives,guarantyfund,MonteCarlomethod,creditrisk1IntroductionTheregulatorycontextbroug
6、htbytheBaselIIaccordhasgivenanewimpetustotheevaluationofthesolvencyoffinancialinstitutions.Althoughinternationallyactivecommercialbankshavebeenattheforefront,otherfinancialinstitutions,suchaslargefinancialcooperatives,arealsostronglyinvolved.Thedecentralisednatureoffinancialcoo
7、perativesbringsnewchallengestotheprocess,asthecasestudypresentedherewillshow.Specifically,thispaperwillreportonaconsultingprojectwhoseobjectivewastoevaluatethesolvencyoftheguarantyfundoftheMouvementDesjardins,alargefederationofcreditunionsbasedinQuebec,Canada.Thepaperwillpro
8、ceedasfollows.Section2willdescribetheinstitutionalandtechnicalcontextofthestudy.Se
