Jamaica: Technical Assistance Report-Systemic Risk Monitoring
Technical Assistance Reports, November 1, 2024
Source details
- Canonical URL
- Jamaica: Technical Assistance Report-Systemic Risk Monitoring
Other formats
Bibliographic details
- Published: November 1, 2024
- Series: Technical Assistance Reports
- DOI: https://doi.org/10.5089/9798400290442.019
Mission objectives and scope
- Aim: build capacity to enhance financial stability analyses and assessments at the Bank of Jamaica (BOJ).
- Reviewed the latest available Financial Stability Report (FSR) and the BOJ analytical toolkit.
- Assisted BOJ in estimating sectoral credit risk models to enhance the forward-looking element of its financial stability assessment.
- Explained the Bayesian Model Averaging (BMA) approach and provided initial estimates for five sectoral credit risk models.
Sectoral credit risk models (initial estimates)
- Mortgages to households
- Personal loans
- Corporate loans for tourism
- Corporate loans for construction
- Other corporate loans
Analytical topics covered
- Financial stability indicators
- Credit risk
- Stress testing
- Insurance and pension balance sheets
- Climate risk
- Interconnectedness
- Contagion risk
Key findings and analytical conclusions
- The mission concluded that financial stability should be regarded as equally important as monetary policy and supervision.
- Emphasis on enhancing the forward-looking element of financial stability assessment through sectoral credit risk modeling using BMA.
- Highlighted the importance of improving analyses of non-bank financial sector actors.
- Recommended regular reporting on emerging risks, specifically climate and cyber risks.
Recommendations (FSR, methodology, communication, data)
- Prepare a detailed production plan for the Financial Stability Report (FSR).
- Develop a comprehensive communication strategy for internal and external stakeholders.
- Organize all data in a single data warehouse to support the financial stability analytical toolkit.
- Advance methodological work on the financial stability analytical toolkit (including BMA-based sectoral credit risk models).
- Improve non-bank analyses and establish regular reporting on emerging risks (climate, cyber).
Content in this bundle
- tarea2024090-print-pdf