{
  "title": "A Framework for Macroprudential Bank Solvency Stress Testing: Application to S-25 and Other G-20 Country FSAPs",
  "publication": "IMF Working Papers, March 13, 2013",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2016/12/31/a-framework-for-macroprudential-bank-solvency-stress-testing-application-to-s-25-and-other-g-40390",
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  "summary": "The global financial crisis has placed the spotlight squarely on bank stress tests. Stress tests conducted in the lead-up to the crisis, including those by IMF staff, were not always able to identify the right risks and vulnerabilities.",
  "sections": [
    {
      "heading": "Summary of purpose and scope",
      "content": "- Articulates the solvency stress testing framework applied in the IMF’s surveillance of member countries’ banking systems.\n- Discusses examples of actual implementation in FSAPs to 18 countries which are in the group comprising the 25 most systemically important financial systems (“S-25”) plus other G-20 countries.\n- Offers guidance for readers seeking to develop their own stress testing frameworks and for country authorities preparing for FSAPs."
    },
    {
      "heading": "Key components of the solvency stress testing framework",
      "content": "- Emphasis on more robust stress testing methods and models developed since the global financial crisis.\n- Adoption of a more coherent and consistent approach across IMF staff work.\n- Use of an IMF balance sheet approach and satellite models as part of the modeling toolkit.\n- Incorporation of market price information and sensitivity analysis within stress testing designs.\n- Specification of a risk horizon and consideration of macroprudential dimensions in solvency assessments."
    },
    {
      "heading": "Implementation and empirical application",
      "content": "- Examples drawn from 18 country FSAPs within the S-25 and other G-20 countries illustrate practical application.\n- A detailed Stress Test Matrix (STeM) compares the stress test parameters applied in each of these major country FSAPs.\n- Stress test output templates are provided to standardize reporting and facilitate comparability across assessments."
    },
    {
      "heading": "Outputs, templates, and analytical tools",
      "content": "- Provision of a detailed Stress Test Matrix (STeM) for cross-country parameter comparison.\n- Inclusion of stress test output templates, including a bottom-up bank solvency stress test output template and a stress test summary template, to promote consistent presentation of results.\n- Framework supports both surveillance and Financial Sector Assessment Program (FSAP) uses."
    },
    {
      "heading": "Subject coverage and keywords (as listed)",
      "content": "- Subjects: Bank solvency, Banking, Basel III, Financial regulation and supervision, Financial Sector Assessment Program, Financial sector policy and analysis, Solvency stress testing, Stress testing.\n- Keywords: Bank solvency, bank solvency risk, Basel III, bottom-up bank solvency stress test output template, Financial Sector Assessment Plan (FSAP), Financial Sector Assessment Program, FSAP solvency stress tests, G-20, Global, hurdle rate, IMF balance sheet approach, IMF staff, IMF team, macroprudential, market price, output template, risk horizon, S-25, satellite models, sensitivity analysis, solvency, Solvency stress testing, stress test output template, stress test summary template, stress testing, surveillance, U.K. FSAP update, WP.\n\n---\n\n Content in this bundle\n\n- wp1368\n  - wp1368 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - wp1368 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/a-framework-for-macroprudential-bank-solvency-stress-testing-application-to-s-25-and-other-g-40390"
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    "Authors: Andreas Jobst, Li L Ong, Christian Schmieder",
    "Published: March 13, 2013",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781616355074.001",
    "Articulates the solvency stress testing framework applied in the IMF’s surveillance of member countries’ banking systems.",
    "Discusses examples of actual implementation in FSAPs to 18 countries which are in the group comprising the 25 most systemically important financial systems (“S-25”) plus other G-20 countries.",
    "Offers guidance for readers seeking to develop their own stress testing frameworks and for country authorities preparing for FSAPs.",
    "Emphasis on more robust stress testing methods and models developed since the global financial crisis.",
    "Adoption of a more coherent and consistent approach across IMF staff work.",
    "Use of an IMF balance sheet approach and satellite models as part of the modeling toolkit.",
    "Incorporation of market price information and sensitivity analysis within stress testing designs.",
    "Specification of a risk horizon and consideration of macroprudential dimensions in solvency assessments.",
    "Examples drawn from 18 country FSAPs within the S-25 and other G-20 countries illustrate practical application.",
    "A detailed Stress Test Matrix (STeM) compares the stress test parameters applied in each of these major country FSAPs.",
    "Stress test output templates are provided to standardize reporting and facilitate comparability across assessments.",
    "Provision of a detailed Stress Test Matrix (STeM) for cross-country parameter comparison.",
    "Inclusion of stress test output templates, including a bottom-up bank solvency stress test output template and a stress test summary template, to promote consistent presentation of results.",
    "Framework supports both surveillance and Financial Sector Assessment Program (FSAP) uses.",
    "Subjects: Bank solvency, Banking, Basel III, Financial regulation and supervision, Financial Sector Assessment Program, Financial sector policy and analysis, Solvency stress testing, Stress testing.",
    "Keywords: Bank solvency, bank solvency risk, Basel III, bottom-up bank solvency stress test output template, Financial Sector Assessment Plan (FSAP), Financial Sector Assessment Program, FSAP solvency stress tests, G-20, Global, hurdle rate, IMF balance sheet approach, IMF staff, IMF team, macroprudential, market price, output template, risk horizon, S-25, satellite models, sensitivity analysis, solvency, Solvency stress testing, stress test output template, stress test summary template, stress testing, surveillance, U.K. FSAP update, WP.",
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