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Stress Testing at the IMF
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Author/Editor: |
Moretti, Marina | Stolz, Stéphanie | Swinburne, Mark |
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September 1, 2008 |
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Electronic Access: |
Free Full Text (PDF file size is 282KB)
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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: For almost a decade, the IMF has been using stress tests to identify vulnerabilities across institutions that could undermine the stability of a country's financial system. This working paper focuses on the IMF's experience with stress testing in the Financial Sector Assessment Program (FSAP). It provides background on the nature of an FSAP and the role of macro stress testing within it. It also describes how the methodology of stress testing in FSAPs has been evolving and what are fairly common approaches now being used. Finally, it discusses the main strengths and challenges for future development of macro stress testing in FSAPs and provides an overview of stress testing practice in European FSAPs.
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Series: |
Working Paper No. 08/206 |
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Subject(s): |
Financial Sector Assessment Program | Financial systems | Financial stability | Credit risk | Liquidity | Technical assistance | Working Paper |
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Author's keyword(s): |
Stress testing | financial stability | credit risk | market risk | liquidity risk |
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Published: |
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September 1, 2008 |
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Format: |
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Paper |
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Stock No: |
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WPIEA2008206 |
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Pages: |
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23 |
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Price: |
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US$18.00 (Academic Rate: US$18.00 )
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