A Framework For Macroprudential Bank Solvency Stress Testing
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A Framework For Macroprudential Bank Solvency Stress Testing
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Author : Mr.Andreas A. Jobst
language : en
Publisher: International Monetary Fund
Release Date : 2013-03-13
A Framework For Macroprudential Bank Solvency Stress Testing written by Mr.Andreas A. Jobst and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-13 with Business & Economics categories.
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. Since then, IMF staff has developed more robust stress testing methods and models and adopted a more coherent and consistent approach. This paper articulates the solvency stress testing framework that is being applied in the IMF’s surveillance of member countries’ banking systems, and discusses examples of its 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. In doing so, the paper also offers useful guidance for readers seeking to develop their own stress testing frameworks and country authorities preparing for FSAPs. A detailed Stress Test Matrix (STeM) comparing the stress test parameters applie in each of these major country FSAPs is provided, together with our stress test output templates.
Stress Testing At The Imf
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Author : Mr.Tobias Adrian
language : en
Publisher: International Monetary Fund
Release Date : 2020-02-05
Stress Testing At The Imf written by Mr.Tobias Adrian and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-02-05 with Business & Economics categories.
This paper explains specifics of stress testing at the IMF. 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. They are followed by a discussion on how IMF staff uses stress tests results for policy advice. 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. 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. 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. IMF stress tests primarily apply to depository intermediaries, and, systemically important banks.
Perspectives De L Conomie Mondiale Octobre 1993
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Author : International Monetary Fund
language : fr
Publisher:
Release Date : 1993-11
Perspectives De L Conomie Mondiale Octobre 1993 written by International Monetary Fund and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993-11 with categories.
Rules Of Thumb For Bank Solvency Stress Testing
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Author : Mr.Daniel C. Hardy
language : en
Publisher: International Monetary Fund
Release Date : 2013-11-11
Rules Of Thumb For Bank Solvency Stress Testing written by Mr.Daniel C. Hardy and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-11 with Business & Economics categories.
Rules of thumb can be useful in undertaking quick, robust, and readily interpretable bank stress tests. Such rules of thumb are proposed for the behavior of banks’ capital ratios and key drivers thereof—primarily credit losses, income, credit growth, and risk weights—in advanced and emerging economies, under more or less severe stress conditions. The proposed rules imply disproportionate responses to large shocks, and can be used to quantify the cyclical behaviour of capital ratios under various regulatory approaches.
Next Generation Balance Sheet Stress Testing
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Author : Mr. Christian Schmieder
language : en
Publisher: International Monetary Fund
Release Date : 2011-04-01
Next Generation Balance Sheet Stress Testing written by Mr. Christian Schmieder and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-04-01 with Business & Economics categories.
This paper presents a "second-generation" solvency stress testing framework extending applied stress testing work centered on Cihák (2007). The framework seeks enriching stress tests in terms of risk-sensitivity, while keeping them flexible, transparent, and user-friendly. The main contributions include (a) increasing the risk-sensitivity of stress testing by capturing changes in risk-weighted assets (RWAs) under stress, including for non-internal ratings based (IRB) banks (through a quasi-IRB approach); (b) providing stress testers with a comprehensive platform to use satellite models, and to define various assumptions and scenarios; (c) allowing stress testers to run multi-year scenarios (up to five years) for hundreds of banks, depending on the availability of data. The framework uses balance sheet data and is Excel-based with detailed guidance and documentation.
Macroprudential Liquidity Stress Testing In Fsaps For Systemically Important Financial Systems
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Author : Mr.Andreas A. Jobst
language : en
Publisher: International Monetary Fund
Release Date : 2017-05-02
Macroprudential Liquidity Stress Testing In Fsaps For Systemically Important Financial Systems written by Mr.Andreas A. Jobst and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-05-02 with Business & Economics categories.
Bank liquidity stress testing, which has become de rigueur following the costly lessons of the global financial crisis, remains underdeveloped compared to solvency stress testing. The ability to adequately identify, model and assess the impact of liquidity shocks, which are infrequent but can have a severe impact on affected banks and financial systems, is complicated not only by data limitations but also by interactions among multiple factors. This paper provides a conceptual overview of liquidity stress testing approaches for banks and discusses their implementation by IMF staff in the Financial Sector Assessment Program (FSAP) for countries with systemically important financial sectors over the last six years.
Towards Macroprudential Stress Testing
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Author : Mr.Ivo Krznar
language : en
Publisher: International Monetary Fund
Release Date : 2017-06-30
Towards Macroprudential Stress Testing written by Mr.Ivo Krznar and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-06-30 with Business & Economics categories.
Macro-feedback effects have been identified as a key missing element for more effective macro-prudential stress testing. To fill this gap, this paper develops a framework that facilitates the analysis of both the direct effects of macroeconomic shocks on the solvency of individual banks and feedback effects that allow for the amplification and propagation of shocks that can result from bank deleveraging and credit crunches. The framework ensures consistency in the key relationships between macroeconomic and financial variables, and banks’ balance sheets. This is accomplished by embedding a standard stress-testing framework based on individual banks’ data in a semi-structural macroeconomic model. The framework has numerous applications that can strengthen stress testing and macro financial analysis. Moreover, it provides an avenue for many extensions that address the challenges of incorporating other second-round effects important for comprehensive systemic risk analysis, such as interactions between solvency, liquidity and contagion risks. To this end, the paper presents some preliminary simulations of feedback effects arising from the link between the liquidity and solvency risk.
A Guide To Imf Stress Testing
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Author : Ms.Li L Ong
language : en
Publisher: International Monetary Fund
Release Date : 2014-12-23
A Guide To Imf Stress Testing written by Ms.Li L Ong and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-12-23 with Business & Economics categories.
The IMF has had extensive involvement in the stress testing of financial systems in its member countries. This book presents the methods and models that have been developed by IMF staff over the years and that can be applied to the gamut of financial systems. An added resource for readers is the companion CD-Rom, which makes available the toolkit with some of the models presented in the book (also located at elibrary.imf.org/page/stress-test-toolkit).
Designing Effective Macroprudential Stress Tests
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Author : Mr.Dimitri G. Demekas
language : en
Publisher: International Monetary Fund
Release Date : 2015-06-30
Designing Effective Macroprudential Stress Tests written by Mr.Dimitri G. Demekas and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-30 with Business & Economics categories.
Giving stress tests a macroprudential perspective requires (i) incorporating general equilibrium dimensions, so that the outcome of the test depends not only on the size of the shock and the buffers of individual institutions but also on their behavioral responses and their interactions with each other and with other economic agents; and (ii) focusing on the resilience of the system as a whole. Progress has been made toward the first goal: several models are now available that attempt to integrate solvency, liquidity, and other sources of risk and to capture some behavioral responses and feedback effects. But building models that measure correctly systemic risk and the contribution of individual institutions to it while, at the same time, relating the results to the established regulatory framework has proved more difficult. Looking forward, making macroprudential stress tests more effective would entail using a variety of analytical approaches and scenarios, integrating non-bank financial entities, and exploring the use of agent-based models. As well, macroprudential stress tests should not be used in isolation but be treated as complements to other tools and—crucially—be combined with microprudential perspectives.
Credibility And Crisis Stress Testing
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Author : Ms.Li L. Ong
language : en
Publisher: International Monetary Fund
Release Date : 2013-08-09
Credibility And Crisis Stress Testing written by Ms.Li L. Ong and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-09 with Business & Economics categories.
Credibility is the bedrock of any crisis stress test. The use of stress tests to manage systemic risk was introduced by the U.S. authorities in 2009 in the form of the Supervisory Capital Assessment Program. Since then, supervisory authorities in other jurisdictions have also conducted similar exercises. In some of those cases, the design and implementation of certainelements of the framework have been criticized for their lack of credibility. This paper proposes a set of guidelines for constructing an effective crisis stress test. It combines financial markets impact studies of previous exercises with relevant case study information gleaned from those experiences to identify the key elements and to formulate their appropriate design. Pertinent concepts, issues and nuances particular to crisis stress testing are also discussed. The findings may be useful for country authorities seeking to include stress tests in their crisis management arsenal, as well as for the design of crisis programs.