Euro Area Policies: Financial Sector Assessment Program-Technical Note-Stress Testing the Banking Sector
IMF Staff Country Reports, July 19, 2018
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- Euro Area Policies: Financial Sector Assessment Program-Technical Note-Stress Testing the Banking Sector
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Bibliographic details
- Published: July 19, 2018
- Series: IMF Staff Country Reports
Overview and Scope
- The FSAP team undertook a thorough top-down stress testing analysis using end-2017 data.
- The exercise covers:
- scenario-based solvency tests,
- single factor sensitivity tests,
- liquidity tests.
- The stress test was carried out on a sample of major euro area banks supervised by the Single Supervisory Mechanism (SSM).
- The analysis relies on comprehensive and granular supervisory data on individual banks’ positions shared by the European Central Bank (ECB).
- FSAP results are not directly comparable to the 2018 EU-wide stress test results due to differences in scenarios, methodologies, and objectives.
- Purpose: provide an assessment of the system-wide resilience of the euro area banking sector at the current juncture.
Methodology (high level)
- Top-down approach using end-2017 balance sheet and supervisory data.
- Tests performed:
- scenario-based solvency tests,
- single factor sensitivity tests,
- liquidity tests.
- Data source emphasis: supervisory data on individual banks’ positions provided by the ECB.
Key Findings and Analytical Emphases
- System-wide resilience assessment based on the above stress tests and sensitivity analyses.
- The results reflect stress under specified scenarios and single-factor shocks; differences in scenario design and objectives limit direct comparability with the 2018 EU-wide stress test.
Subjects and Keywords (as provided)
- Subjects: Banking, Credit risk, Financial institutions, Financial regulation and supervision, Financial sector policy and analysis, Liquidity risk, Market risk, Securities, Stress testing
- Keywords: balance sheet, bank deposit, banking system, capital ratio, central bank, CR, credit risk, Credit risk, Europe, financial institution, Global, government bond, implied rate, interest rate, ISCR, liquidity risk, Liquidity risk, Market risk, monetary policy, money market, real interest rate, Securities, sensitivity analysis, Stress testing
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- Country Report