Introduction to Applied Stress Testing
March 1, 2007
Download PDF
More Formats on IMF eLibrary
Order a Print CopyDisclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
Summary
Stress testing is a useful and increasingly popular, yet sometimes misunderstood, method of analyzing the resilience of financial systems to adverse events. This paper aims to help demystify stress tests, and illustrate their strengths and weaknesses. Using an Excel-based exercise with institution-by-institution data, readers are walked through stress testing for credit risk, interest rate and exchange rate risks, liquidity risk and contagion risk, and are guided in the design of stress testing scenarios. The paper also describes the links between stress testing and other analytical tools, such as financial soundness indicators and supervisory early warning systems. Furthermore, it includes surveys of stress testing practices in central banks and the IMF.
Subject: Banking, Credit risk, Market risk, Nonperforming loans, Stress testing
Keywords: economic value, financial system, interest rate, WP
Pages:
74
Volume:
2007
DOI:
Issue:
059
Series:
Working Paper No. 2007/059
Stock No:
WPIEA2007059
ISBN:
9781451866230
ISSN:
1018-5941
Supplemental Resources
- Link to data for this title
ZIP
WEB
WEB
WEB
WEB
WEB
