A Framework for Macroprudential Bank Solvency Stress Testing : Application to S-25 and Other G-20 Country FSAPs

Author/Editor:

Andreas A. Jobst ; Li L Ong ; Christian Schmieder

Publication Date:

March 13, 2013

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

The global financial crisis has placed the spotlight squarely on bank stress tests. Stress tests conducted in the lead-up to the crisis, including those by IMF staff, were not always able to identify the right risks and vulnerabilities. Since then, IMF staff has developed more robust stress testing methods and models and adopted a more coherent and consistent approach. This paper articulates the solvency stress testing framework that is being applied in the IMF’s surveillance of member countries’ banking systems, and discusses examples of its actual implementation in FSAPs to 18 countries which are in the group comprising the 25 most systemically important financial systems (“S-25”) plus other G-20 countries. In doing so, the paper also offers useful guidance for readers seeking to develop their own stress testing frameworks and country authorities preparing for FSAPs. A detailed Stress Test Matrix (STeM) comparing the stress test parameters applie in each of these major country FSAPs is provided, together with our stress test output templates.

Series:

Working Paper No. 13/68

Subject:

English

Publication Date:

March 13, 2013

ISBN/ISSN:

9781616355074/1018-5941

Stock No:

WPIEA2013068

Price:

$18.00 (Academic Rate:$18.00)

Format:

Paper

Pages:

55

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