Guernsey: Financial Sector Assessment Program Update‑Technical Note on Stress Testing: Banking and Insurance
IMF Staff Country Reports, January 14, 2011
Source details
- Canonical URL
- Guernsey: Financial Sector Assessment Program Update‑Technical Note on Stress Testing: Banking and Insurance
Other formats
Bibliographic details
- Published: January 14, 2011
- Series: IMF Staff Country Reports
- DOI: https://doi.org/10.5089/9781455213733.002
Scope and objectives
- Stress testing (ST) was undertaken as part of the Guernsey Financial sector assessment Program (FSAP) Update to assess the resilience of the Guernsey financial system to a variety of potential strains.
- The approach taken was a simulation of the effect of a potential double-dip recession on solvency of Guernsey banks and insurance companies.
- The STs assess the sensitivity of banks and insurance companies to single-factor shocks to risk types affecting solvency and liquidity position of institutions.
Key findings and analytical focus
- The exercise focused on solvency and liquidity impacts under a simulated double-dip recession.
- Tests were single-factor shock scenarios applied to risk types relevant to banks and insurers, including market risk, credit risk, liquidity risk, operational risk, and yield curve movements.
- Subject areas listed: Banking; Credit risk; Financial regulation and supervision; Financial sector policy and analysis; Financial services; Market risk; Operational risk; Stress testing; Yield curve.
- Keywords highlighting analytical elements: asset price risk; concentration risk analysis; CR; Credit risk; Global; interest rate; ISCR; liquidity risk; liquidity risk test sample; Market risk; market risk test; mortgage loan; No. bank; North America; Operational risk; parent bank; persistency risk; return on equity; risk type; Stress testing; test result; yield curve; Yield curve.
Policy recommendations and methodological guidance
- The mission recommends that future STs should be risk-based.
- The mission recommends that macroprudential analysis should be run on a regular basis.
Content in this bundle
- Executive Summary — Stress Testing of Guernsey Financial Sector