2021 Financial Sector Assessment Program Review—Background Paper On Quantitative Analysis
Policy Papers, May 28, 2021
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- 2021 Financial Sector Assessment Program Review—Background Paper On Quantitative Analysis
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Bibliographic details
- Published: May 28, 2021
- Series: Policy Papers
- DOI: https://doi.org/10.5089/9781513584126.007
Scope and purpose
- Reviews quantitative tools of financial stability assessments under the Financial Sector Assessment Program (FSAP).
- Key focus: methodologies to gauge risks on a system-wide level and propose mitigating measures.
- Concentrates on the main elements of the FSAP’s macroprudential stress testing framework and related quantitative tools.
Macroprudential stress testing framework — main elements
- (i) The interaction among solvency, liquidity, and contagion risks in the banking sector.
- (ii) The assessment of the health of nonbank financial institutions (NBFIs), their interactions with banks and their impact on financial markets.
- (iii) The assessment of the health of nonfinancial sectors and their links to the financial sector.
- (iv) Macroprudential policy analysis.
Microprudential and emerging-risk tools reviewed
- Reviews recent improvements in microprudential bank solvency stress testing—an important foundation for the macroprudential stress testing framework.
- Discusses new tools for emerging risks: climate change, fintech, and cyber.
Subject areas and keywords emphasized
- Subject: Financial Sector Assessment Program, Financial sector policy and analysis, Financial sector risk, Financial stability assessment, Monetary policy, Political economy, Stress testing, Systemic risk.
- Keywords: bank solvency stress test model, Financial Sector Assessment Program, Financial sector risk, Financial stability assessment, Global, interest coverage ratios, macro-Financial feedback loops, quantitative analysis, Stress testing, Systemic risk, transparency policy.
Content in this bundle
- Policy Paper