Introduction to Applied Stress Testing
IMF Working Papers, March 1, 2007
Source details
- Canonical URL
- Introduction to Applied Stress Testing
Other formats
Bibliographic details
- Authors: Martin Cihak
- Published: March 1, 2007
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451866230.001
Summary / Purpose
- Stress testing is presented as a useful and increasingly popular, yet sometimes misunderstood, method of analyzing the resilience of financial systems to adverse events.
- The paper aims to demystify stress tests and illustrate their strengths and weaknesses.
Methodology and Practical Exercise
- Uses an Excel-based exercise with institution-by-institution data to guide practical implementation.
- Readers are walked through stress testing for multiple risk types and guided in the design of stress testing scenarios.
Risks and Analytical Coverage
- Stress testing exercises and discussion cover:
- credit risk
- interest rate risk
- exchange rate risk
- liquidity risk
- contagion risk
Links to Other Analytical Tools
- Describes links between stress testing and:
- financial soundness indicators
- supervisory early warning systems
Surveys and Institutional Practices
- Includes surveys of stress testing practices in central banks and the IMF.
Publication and Metadata (preserved exactly)
- By Martin Cihak
- March 1, 2007
- Pages: 74
- Volume: 2007
- Issue: 059
- Series: Working Paper No. 2007/059
- DOI: https://doi.org/10.5089/9781451866230.001
- Stock No: WPIEA2007059
- ISBN: 9781451866230
- ISSN: 1018-5941
Key Descriptive Keywords and Subjects
- Subject: Banking, Credit risk, Market risk, Nonperforming loans, Stress testing
- Keywords: economic value, financial system, interest rate, WP
Source: Introduction to Applied Stress Testing — IMF Working Paper by Martin Cihak (March 1, 2007).
Content in this bundle
- Introduction to Applied Stress Testing; Martin Čihák; IMF Working Paper 07/59; March 1, 2007