Stress Testing Financial Systems: What to Do When the Governor Calls

Author/Editor:

Paul Louis Ceriel Hilbers ; Matthew T Jones ; Graham L Slack

Publication Date:

July 1, 2004

Electronic Access:

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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

Summary:

Stress testing is becoming a widely used tool to assess potential vulnerabilities in a financial system. This paper is intended to answer some of the basic questions that may arise as part of the process of stress testing. The paper begins with a discussion of stress testing in a financial system context, highlighting some of the differences between stress tests of systems and of individual portfolios. The paper provides an overview of the process itself, from identifying vulnerabilities, to constructing scenarios, to interpreting the results. The experience of the IMF in conducting stress testing as part of the Financial Sector Assessment Program (FSAP) is also discussed.

Series:

Working Paper No. 2004/127

Subject:

Banking Financial Sector Assessment Program Financial sector policy and analysis Financial soundness indicators Financial statements National accounts Personal income Public financial management (PFM) Stress testing

Notes:

See also pamphlet on Stress Testing Financial Systems, published September 2004

English

Publication Date:

July 1, 2004

ISBN/ISSN:

9781451855012/1018-5941

Stock No:

WPIEA1272004

Pages:

38

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