Stress Testing of Financial Systems: An Overview of Issues, Methodologies, and FSAP Experiences
IMF Working Papers, June 1, 2001
Source details
- Canonical URL
- Stress Testing of Financial Systems: An Overview of Issues, Methodologies, and FSAP Experiences
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Bibliographic details
- Authors: Maria Soledad Martinez Peria, Giovanni Majnoni, Matthew T Jones, Winfrid Blaschke
- Published: June 1, 2001
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451851168.001
Objectives and Summary
- The paper has three objectives:
- After a general introduction to some of the concepts and basic techniques of stress testing, give an overview of some of the conceptual issues involved in evaluating risks at the aggregated level of financial systems.
- Provide a basic framework and toolkit for conducting stress tests.
- Review some of the stress-testing analyses conducted in the context of the Financial Sector Assessment Program (FSAP) and suggest simplified approaches to deal with situations where the quantity and quality of the data is less than ideal.
- Summary statement:
- The paper introduces concepts and techniques of stress testing, addresses conceptual issues for aggregated financial-system risk evaluation, provides a basic framework and toolkit for stress tests, and reviews FSAP stress-testing analyses with suggested simplified approaches for limited data situations.
Major Themes and Methodological Toolkit
- Concepts and basic techniques of stress testing:
- Introduction to stress-testing concepts and basic techniques (no procedural details provided on this page).
- Framework and toolkit:
- A basic framework and toolkit for conducting stress tests is presented (details are in the full paper).
- Aggregated financial-system risk evaluation:
- Overview of conceptual issues involved in evaluating risks at the aggregated level of financial systems.
FSAP Experiences and Practical Guidance
- Review of stress-testing analyses conducted in the context of the Financial Sector Assessment Program (FSAP).
- Suggested simplified approaches:
- Approaches tailored for situations where the quantity and quality of the data is less than ideal.
Subject Areas and Keywords
- Subject: Banking, Credit risk, Exchange rate risk, Financial regulation and supervision, Financial sector policy and analysis, Foreign exchange, Market risk, Stress testing
- Keywords:
- Asia and Pacific
- asset liquidity risk
- bank assets
- bank borrower
- capital ratio
- credit risk
- equity price risk
- Exchange rate risk
- flight to quality
- foreign exchange
- foreign exchange risk
- Global
- interest rate risk
- liquidity risk
- management strategy
- Market risk
- net position
- risk exposure
- stress scenario
- Stress testing
- time horizon
- WP