Stress Testing at the IMF
Departmental Papers, February 5, 2020
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Bibliographic details
- Authors: Tobias Adrian, James Morsink, Liliana B Schumacher
- Published: February 5, 2020
- Series: Departmental Papers
- DOI: https://doi.org/10.5089/9781513520742.087
Overview and purpose
- Explains specifics of stress testing at the IMF.
- Stress tests help assess the resilience of financial systems in IMF member countries and underpin policy advice to preserve or restore financial stability.
- This assessment and advice are mainly provided through the Financial Sector Assessment Program (FSAP).
- IMF staff also provide technical assistance in stress testing to many its member countries.
Evolution and definition
- After a brief section on the evolution of stress tests at the IMF, the paper presents the key steps of an IMF staff stress test.
- An IMF macroprudential stress test is a methodology to assess financial vulnerabilities that can trigger systemic risk and the need of systemwide mitigating measures.
- The definition of systemic risk as used by the IMF is relevant to understanding the role of its stress tests as tools for financial surveillance and the IMF’s current work program.
Key steps of an IMF staff stress test
- The paper presents the key steps of an IMF staff stress test (described in the main text of the paper).
Use of stress test results for policy advice
- The key steps are followed by a discussion on how IMF staff uses stress tests results for policy advice.
- Stress test outputs underpin policy advice to preserve or restore financial stability and inform recommendations within FSAP engagements.
Scope and applicability
- IMF stress tests primarily apply to depository intermediaries, and, systemically important banks.
Remaining challenges and IMF work program
- The paper concludes by identifying remaining challenges to make stress tests more useful for the monitoring of financial stability and an overview of IMF staff work program in that direction.
Publication and metadata
- Authors: Tobias Adrian, James Morsink, Miss Liliana B Schumacher
- Date: February 5, 2020
- Pages: 72
- Volume: 2020
- Issue: 016
- Series: Departmental Paper No 2020/016
- DOI: https://doi.org/10.5089/9781513520742.087
- Stock No: STIMFEA
- ISBN: 9781513520742
- ISSN: 2616-5333
- Subjects: Banking, Financial Sector Assessment Program, Financial sector policy and analysis, Financial sector stability, Solvency, Solvency stress testing, Stress testing, Systemic risk
- Keywords: bank, bank capital, bank exposure, cash flow, counterbalancing capacity, defaults affect bank asset value, DP, DPPP, Financial Sector Assessment Program, Financial sector stability, funding cost, Global, IMF Library, IMF solvency stress tests, IMF staff, IMF stress tests, IMF team, optimization process, risk amplification mechanism, share price, Solvency, solvency factor, Solvency stress testing, Stress testing, stress tests, Systemic risk
Departmental Papers 2020/016 — Stress Testing at the IMF.