Analytical Work on Financial Stability

General Stress Testing Methods

Cihak, Martin. 2007. "Introduction to Applied Stress Testing." IMF Working Paper 07/59, International Monetary Fund, Washington, DC.

Adrian, Tobias, James Morsink, Liliana B Schumacher. 2020. "Stress Testing at the IMF." IMF Departmental Paper 20/04, International Monetary Fund, Washington, D.C.

Chan-Lau Jorge A. 2017. "Lasso Regressions and Forecasting Models in Applied Stress Testing." IMF Working Paper 17/108, International Monetary Fund, Washington, D.C.

Hardy, C Daniel, Christian Schmieder. 2013. "Rules of Thumb for Bank Solvency Stress Testing." IMF Working Paper No. 13/232, International Monetary Fund, Washington, D.C.

Ong, L Li, Rodolfo Maino, Nombulelo Braiton. 2010. "Into the Great Unknown : Stress Testing with Weak Data." IMF Working Paper 10/282, International Monetary Fund, Washington, D.C.

Ong, Li Lian. 2014. "A Guide to IMF Stress Testing : Methods and Models." International Monetary Fund, Washington, D.C.

Schmieder, Christian ; Maher Hasan, Claus Puhr. 2011. "Next Generation Balance Sheet Stress Testing." IMF Working Paper No. 11/83, International Monetary Fund, Washington, D.C.

Swinburne, Mark ; Stolz, Stéphanie Marie ; Moretti, Marina, "Stress Testing at the IMF", Working Paper No. 08/206

Jobst, Andreas A, Li L Ong, Christian Schmieder. 2013. "A Framework for Macroprudential Bank Solvency Stress Testing : Application to S-25 and Other G-20 Country FSAPs." IMF Working Paper No. 13/68, International Monetary Fund, Washington, D.C.

Hiroko,Oura, Liliana Schumacher. 2012. "Macrofinancial Stress Testing—Principles and Practices." IMF Policy Paper

Gross, M. and Población, J. (2019), "Implications of Model Uncertainty for Bank Stress Testing," Journal of Financial Services Research, Vol. 55(1), pp. 31-58.

Gross, M., Dubiel-Teleszynski, T., and Población, J. (2019). "A structural model to assess the impact of bank capitalization changes conditional on a bail-in versus bail-out regime," International Review of Economics & Finance, Vol. 59, pp. 1-13.

General Macroprudential Stress testing

Alla, Zineddine, Raphael A Espinoza , Qiaoluan H Li , Migue A Segoviano Basurto. 2018. :Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses." IMF Working Paper 18/49, International Monetary Fund, Washington, D.C.

Anderson, Ron, Jon Danielsson , Chikako Baba , Udaibir S Das , Heedon Kang, Miguel A Segoviano Basurto. 2018. "Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks." IMF Working Paper 18/197, International Monetary Fund, Washington, D.C.

Fabio Cortes, Peter Lindner, Sheheryar Malik, and Miguel A. Segoviano. 2018. "A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (SyRIN)" IMF Working Paper No. 18/14, International Monetary Fund, Washington, D.C.

Rama Cont ; Artur Kotlicki ; Laura Valderrama. 2020. "Liquidity at Risk: Joint Stress Testing of Solvency and Liquidity" IMF Working Paper No. 20/82, International Monetary Fund, Washington, D.C.

Laura Valderrama. 2015. "Macroprudential regulation under repo funding" Journal of Financial Intermediation 24, Issue 2, pp. 178-199

Bank Liquidity Stress Testing

Andreas A Jobst, Li Lian Ong, Christian Schmieder. 2017. "Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems" IMF Working Paper 17/102, International Monetary Fund, Washington, DC.

Solvency Risk in Bank Stress Testing

Andreas A. Jobs, Hiroko Oura. 2019. "Sovereign Risk in Macroprudential Solvency Stress Testing." IMF Departmental Paper 19/266, International Monetary Fund, Washington, D.C.

Gross, M., Laliotis, D., Leika, M., and Lukyantsau, P. 2020. “Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective” IMF Working Paper No. 20/111, International Monetary Fund, Washington, D.C.

Grippa, Pierpaolo, Lucyna Gornicka (2016) “Measuring Concentration Risk - A Partial Portfolio Approach”. IMF Working Paper 16/58, International Monetary Fund, Washington, DC.

Andreas A. Jobst, Juan Solé. 2020. "The Nature of Islamic Banking and Solvency Stress Testing―Conceptual Considerations" IMF Working Paper No. 20/156, International Monetary Fund, Washington, D.C.

Linking Bank Solvency and Bank Liquidity Risks

Schmitz, Stefan, Michael Sigmund, and Laura Valderrama. 2017, Bank Solvency and Funding Cost: New Data and New Results.” IMF Working Paper 17/116, International Monetary Fund, Washington, DC.

Barnhill, Theodore M, and Liliana B Schumacher. 2011. “Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information.” IMF Working Paper 11/263, International Monetary Fund, Washington, DC.

Aymanns, Christoph ; Carlos Caceres, Christina Daniel, Liliana B Schumacher. 2016. "Bank Solvency and Funding Cost." IMF Working Paper 16/64, International Monetary Fund, Washington D.C.

Han, Fei, Leika Mindaugas. 2019. "Integrating Solvency and Liquidity Stress Tests: The Use of Markov Regime-Switching Models." IMF Working Paper 19/250, International Monetary Fund, Washington, D.C.

Rama Cont, Artur Kotlicki, Laura Valderrama. 2020. "Liquidity at risk: Joint stress testing of solvency and liquidity" Journal of Banking and Finance 118

Macrofeedback Effects in Bank Stress Testing

Krznar, Ivo, Troy D Matheson. 2017. "Towards Macroprudential Stress Testing : Incorporating Macro-Feedback Effects." IMF Working Paper 17/149, International Monetary Fund, Washington, D.C.

Raphael A. Espinoza, Miguel A. Segoviano, and Ji Yan. 2020. "Systemic Risk Modeling: How Theory Can Meet Statistics" IMF Working Paper No. 20/54, International Monetary Fund, Washington, D.C.

Mario Catalan, Alexander W. Hoffmaister. 2020. "When Banks Punch Back: Macrofinancial Feedback Loops in Stress Tests" IMF Working Paper No. 20/72, International Monetary Fund, Washington, D.C.

Stress Testing and Calibration of Macroprudential Instruments

Nier, Erlend, Radu Popa, Maral Shamloo, and Liviu Voinea. 2019, “Debt Service and Default: Calibrating Macroprudential Policy Using Micro Data.” IMF Working Paper 19/182, International Monetary Fund, Washington, DC

Gross, M., Jurca, P., Klacso, J., Tereanu, E., and Forletta, M. (2020), “The Effectiveness of Borrower-Based Macroprudential Measures: A Quantitative Analysis for Slovakia,” IMF Working Paper No. 20/134.

Lucyna Gornicka ; Laura Valderrama (2020) Stress Testing and Calibration of Macroprudential Policy Tools

Insurance Stress Testing

Jobst, Andreas A, Nobuyasu Sugimoto, Timo Broszeit. 2014. "Macroprudential Solvency Stress Testing of the Insurance Sector." IMF Working Paper No. 14/133, International Monetary Fund, Washington, D.C.

Investment Fund Stress testing

Bouveret, Antoine. 2017. "Liquidity Stress Tests for Investment Funds: A Practical Guide." IMF Working Paper 17/226, International Monetary Fund, Washington, D.C.

Interconnectedness Analysis

Bricco, Jana, and TengTeng Xu. 2019. “Interconnectedness and Contagion Analysis: A Practical Framework.” IMF Working Paper 19/220, International Monetary Fund, Washington, DC.

Espinosa-Vega, Marco A, and Juan Solé. 2010. “Cross-Border Financial Surveillance: A Network Perspective.” IMF Working Paper 10/105, International Monetary Fund, Washington, DC.

Malik, Sheheryar, and TengTeng Xu. 2017. “Interconnectedness of Global Systemically-Important Banks and Insurers.” IMF Working Paper 17/210, International Monetary Fund, Washington, DC

Galina Hale , Tümer Kapan , Camelia Minoiu. 2016. "Crisis Transmission in the Global Banking Network." IMF Working Paper 16/19, International Monetary Fund, Washington, DC.

Covi, Giovanni; Gorpe, Mehmet Ziya; Kok, Christoffer, 2019, "CoMap: Mapping Contagion in the Euro Area Banking Sector." IMF Working Paper 19/102, International Monetary Fund, Washington, DC.

Hesse, Heiko ; Salman, Ferhan ; Schmieder, Christian, 2014, How to Capture Macro-Financial Spillover Effects in Stress Tests? Working Paper 14/103, International Monetary Fund, Washington, D.C.

Gross, M., Elhorst, J.P., and Tereanu, E. 2020. "Cross-Sectional Dependence and Spillovers in Space and Time: Where Spatial Econometrics and Global VAR Model Meet" Journal of Economic Surveys.

Gross, M. 2018. "Estimating GVAR weight matrices" Spatial Economic Analysis.

Market Price Based Stress Testing Methods

Jobst, Andreas A, Dale F Gray. 2013. " Systemic Contingent Claims Analysis : Estimating Market-Implied Systemic Risk." IMF Working Paper 13/54, International Monetary Fund, Washington, D.C.

Chan-Lau, A Jorge. 2013. "Market-Based Structural Top-Down Stress Tests of the Banking System." IMF Working Paper No. 13/88, International Monetary Fund, Washington, D.C.

Segoviano, Miguel. 2006 “Portfolio Credit Risk and Macroeconomic Shocks: Application to Stress Testing Under Data-Restricted Environment.” IMF Working Paper 06/283, International Monetary Fund, Washington, D.C.

Gray, Dale, Gross, M., Paredes, J., and Sydow, M. 2013. "Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR." IMF Working Paper 13/2018, International Monetary Fund, Washington, D.C.

Corporate Stress Testing

Chow, Julian. 2015. “Stress Testing Corporate Balance Sheets in Emerging Economies.” IMF Working Paper 15/216, International Monetary Fund, Washington, DC.

Thierry Tressel, Luiza Antoun de Almeida. 2020. "Non-Financial Corporate Debt in Advanced Economies" IMF Working Paper No. 20/120, International Monetary Fund, Washington, D.C.

Financial Stability Issues

Segoviano, Miguel, and Charles Goodhart. 2009. “Banking Stability Measures.” IMF Working Paper , International Monetary Fund, Washington, DC.

Xu, TengTeng, Kun Hu, Udaibir S Das. 2019. "Bank Profitability and Financial Stability" IMF Working Paper 19/5, International Monetary Fund, Washington D.C.

Ong, Li Lian, Ceyla Pazarbasioglu. 2013. “Credibility and Crisis Stress Testing” IMF Working Paper 13/178, International Monetary Fund, Washington, DC

Blancher, R Nicolas ; Srobona Mitra, Hanan Morsy, Akira Otani, Tiago Severo, Laura Valderrama. 2013. "Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide." Working Paper 13/168, International Monetary Fund, Washington, D.C.

López-Espinosa, Germán ; Antonio Rubia, Laura Valderrama, Antonio Moreno. 2012. "Systemic Risk and Asymmetric Responses in the Financial Industry." Working Paper 12/152, International Monetary Fund, Washington, D.C.

Gross, M., Henry, J., and Semmler, W. (2018). "Destabilizing Effects of Bank Overleveraging on Real Activity: An Analysis Based on a Threshold MCS-GVAR," Macroeconomic Dynamics, Vol. 22(7), pp. 1750-1768.

Gross, M., and Semmler, W. (2018). "Inflation Targeting, Credit Flows, and Financial Stability in a Regime Change Model," Macroeconomic Dynamics, pp. 1-31.

Carlos Caceres, Vincenzo Guzzo and Miguel A. Segoviano. 2010. "Sovereign Spreads: Global Risk Aversion, Contagion or Fundamentals?" IMF Working Paper No. 10/120, International Monetary Fund, Washington, D.C.

Dimitri G. Demekas and Mario Catalan. 2015. Challenges for systemic risk assessment in low-income countries

German Lopez-Espinosa, Antonio Moreno, Antonio Rubia, Laura Valderrama. 2015. "Systemic risk and asymmetric responses in the financial industry" Journal of Banking and Finance 58, pp. 471-485

German Lopez-Espinosa, Antonio Rubia, Laura Valderrama, Miguel Anton. 2013. "Good for one, bad for all: Determinants of individual versus systemic risk" Journal of Financial Stability 9, pp. 287-299

German Lopez-Espinosa, Antonio Moreno, Antonio Rubia, Laura Valderrama. 2012. "Short-term wholesale funding and systemic risk: A global CoVaR approach" Journal of Banking and Finance 36, Issue 12, pp. 3150-3162

Francisco Vazquez. 2021. "Credit Reversals" IMF Working Paper No. 2021/103, International Monetary Fund, Washington, D.C.

Galen Sher, Heedon Kang. 2020. "Cyber Risk Surveillance: A Case Study of Singapore" IMF Working Paper No. 20/28, International Monetary Fund, Washington, D.C.

Fabian T. Lipinsky, Mirela S. Miescu. 2020. "Capital Gaps, Risk Dynamics, and the Macroeconomy" IMF Working Paper No. 20/209, International Monetary Fund, Washington, D.C.

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Analytical Work on Financial Stability