Nigeria: Publication of Financial Sector Assessment Program Documentation––Technical Note on Stress Testing
IMF Staff Country Reports, May 28, 2013
Source details
- Canonical URL
- Nigeria: Publication of Financial Sector Assessment Program Documentation––Technical Note on Stress Testing
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Bibliographic details
- Published: May 28, 2013
- Series: IMF Staff Country Reports
- DOI: https://doi.org/10.5089/9781484350096.002
Overview
- To assess the financial stability in Nigeria, various stress tests and analytic processes were undertaken jointly by the Nigerian authorities and the Financial Sector Assessment Program (FSAP) team.
- The exercise included macroeconomic scenario analysis and its transmission into a range of single- and multifactor shocks.
- The tests covered the entire Nigerian banking system and looked at the short-term horizon, in part because of data constraints.
- Sensitivity stress tests estimated the impact of changes in individual variables on banks’ portfolios.
Stress testing design and scope
- Coverage: entire Nigerian banking system.
- Horizon: short-term horizon (selected because of data constraints).
- Scenarios and shocks:
- Macroeconomic scenario analysis.
- Transmission of scenarios into a range of single- and multifactor shocks.
- Sensitivity stress tests to estimate impacts of changes in individual variables on banks’ portfolios.
Analytical focus and risk types
- Risk categories and analytical subjects explicitly noted in source metadata:
- Banking, Commercial banks, Credit risk, Financial institutions, Financial markets, Financial regulation and supervision, Financial Sector Assessment Program, Financial sector policy and analysis, Interbank markets, Stress testing.
- Keywords highlighting focal points: bank, bank capital, banking sector, banking system, borrowing bank, cash flow, Commercial banks, CR, Credit risk, Financial Sector Assessment Program, Global, guaranty trust bank, interbank market, Interbank markets, ISCR, lender bank, liquidity, liquidity pressure, liquidity risk, market liquidity shock, Nigerian bank, risk transfer risk, solvency risk, Stress testing, trigger bank.
Data and methodological constraints
- Short-term focus was chosen in part because of data constraints.
- Sensitivity tests were used to estimate the impact of changes in individual variables (single-variable shocks).
- Multifactor shocks and transmission of macroeconomic scenarios were employed to capture combined effects.
Publication metadata and access
- Publication date on landing page: May 28, 2013
- Series: Country Report No. 2013/141
- Issue: 141
- Volume: 2013
- Pages: 40
- DOI: https://doi.org/10.5089/9781484350096.002
- Stock No: 1NGAEA2013003
- ISBN: 9781484350096
- ISSN: 1934-7685
- Format information on page: Download PDF; More Formats on IMF eLibrary; Order a Print Copy; Create Citation
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International Monetary Fund. African Dept. "Nigeria: Publication of Financial Sector Assessment Program Documentation––Technical Note on Stress Testing", IMF Staff Country Reports 2013, 141 (2013).
Content in this bundle
- Cr13141