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Author/Editor:
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Jobst, Andreas A. ; Ong, Li ; Schmieder, Christian
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Publication Date:
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March 13, 2013
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Electronic Access:
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Free Full text
(PDF file size is 3,852KB).
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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
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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.
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Order a print copy
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Series:
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Working Paper No. 13/68
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Subject(s):
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Banking sector | Stress testing | Financial systems | Group of Twenty | Economic models | Risk management | Financial Sector Assessment Program
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English
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Publication Date:
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March 13, 2013
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ISBN/ISSN:
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9781616355074/2227-8885
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Format:
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Paper
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Stock No:
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WPIEA2013068
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Pages:
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55
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Price:
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US$18.00 )
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Please address any questions about this title to
publications@imf.org
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