Stress Testing at the IMF

Author/Editor:

Mark Swinburne ; Stéphanie Marie Stolz ; Marina Moretti

Publication Date:

September 1, 2008

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:

For almost a decade, the IMF has been using stress tests to identify vulnerabilities across institutions that could undermine the stability of a country's financial system. This working paper focuses on the IMF's experience with stress testing in the Financial Sector Assessment Program (FSAP). It provides background on the nature of an FSAP and the role of macro stress testing within it. It also describes how the methodology of stress testing in FSAPs has been evolving and what are fairly common approaches now being used. Finally, it discusses the main strengths and challenges for future development of macro stress testing in FSAPs and provides an overview of stress testing practice in European FSAPs.

Series:

Working Paper No. 08/206

Subject:

English

Publication Date:

September 1, 2008

ISBN/ISSN:

9781451870640/1018-5941

Stock No:

WPIEA2008206

Format:

Paper

Pages:

23

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