Macroprudential Liquidity Stress Testing In Fsaps For Systemically Important Financial Systems
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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 : 2017-05-01
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 2017-05-01 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.
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.
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.
Macroprudential Liquidity Stress Testing In Fsaps For Systemicalley Important Financial Systems
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Author : Andreas A. Jobst
language : en
Publisher:
Release Date : 2017
Macroprudential Liquidity Stress Testing In Fsaps For Systemicalley Important Financial Systems written by Andreas A. Jobst and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with 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.
Financial Stability Analysis What Are The Data Needs
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Author : Mr.Robert M Heath
language : en
Publisher: International Monetary Fund
Release Date : 2017-07-10
Financial Stability Analysis What Are The Data Needs written by Mr.Robert M Heath 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 2017-07-10 with Business & Economics categories.
The growing incidences of financial crises and their damage to the economy has led policy makers to sharpen the focus on financial stability analysis (FSA), crisis prevention and management over the past 10–15 years. The statistical world has reacted with a number of initiatives, but does more need to be done? Taking a holistic view, based on a review of experiences of policy makers and analysts, this paper identifies common international threads in the data needed for FSA and suggests ways to address these. While there has been an encouragingly constructive response by statisticians, not least through the G-20 Data Gaps Initiative, more work is needed, including with regard to shadow banking, capital flows, corporate borrowing, and granular data. Further, to support FSA, the paper identifies potential enhancements to the conceptual advice in statistical manuals including with regard to foreign currency and remaining maturity.
Integrating Solvency And Liquidity Stress Tests The Use Of Markov Regime Switching Models
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Author : Mr.Fei Han
language : en
Publisher: International Monetary Fund
Release Date : 2019-11-15
Integrating Solvency And Liquidity Stress Tests The Use Of Markov Regime Switching Models written by Mr.Fei Han 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 2019-11-15 with Business & Economics categories.
The paper presents a framework to integrate liquidity and solvency stress tests. An empirical study based on European bond trading data finds that asset sales haircuts depend on the total amount of assets sold and general liquidity conditions in the market. To account for variations in market liquidity, the study uses Markov regime-switching models and links haircuts with market volatility and the amount of securities sold by banks. The framework is accompanied by a Matlab program and an Excel-based tool, which allow the calculations to be replicated for any type of traded security and to be used for liquidity and solvency stress testing.
Republic Of Latvia
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Author : International Monetary Fund. European Dept.
language : en
Publisher: International Monetary Fund
Release Date : 2019-08-07
Republic Of Latvia written by International Monetary Fund. European Dept. 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 2019-08-07 with Business & Economics categories.
This Selected Issues paper analyses the implications of global value chains (GVC) participation for Latvia’s competitiveness and exposure to risks. Using a structural model, it assesses Latvia’s competitiveness through different real effective exchange rate (REER) measures and examines the main factors behind differences in the measures. Based on this analysis, the paper suggests policy options to strengthen Latvia’s competitiveness. The paper also estimates the impact of an appreciation of the GVC related REER measure on value added export growth and real GDP growth, and finds sizable effects, suggesting that a rapid labor market tightening could lead to erosion in competitiveness and reduction in growth. Finally, trade tension induced tariff hikes may have significant cost for Latvia, especially in terms of value added produced in the country. Trade tension induced tariff hikes are likely to have moderate costs for Latvia in terms of value added produced in the country. In this regard, policies aimed at enhancing product sophistication or quality and export market diversification could mitigate Latvia’s exposure to trade shocks in GVCs.
Sovereign Risk In Macroprudential Solvency Stress Testing
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Author : Mr.Andreas A. Jobst
language : en
Publisher: International Monetary Fund
Release Date : 2019-12-06
Sovereign Risk In Macroprudential 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 2019-12-06 with Business & Economics categories.
This paper explains the treatment of sovereign risk in macroprudential solvency stress testing, based on the experiences in the Financial Sector Assessment Program (FSAP). We discuss four essential steps in assessing the system-wide impact of sovereign risk: scope, loss estimation, shock calibration, and capital impact calculation. Most importantly, a market-consistent valuation approach lies at the heart of assessing the resilience of the financial sector in a tail risk scenario with sovereign distress. We present a flexible, closed-form approach to calibrating haircuts based on changes in expected sovereign defaults affecting bank solvency during adverse macroeconomic conditions. This paper demonstrates the effectiveness of using extreme value theory (EVT) in this context, with empirical examples from past FSAPs.
Stress Testing Within The Banking Industry
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Author : Felix Lessambo
language : en
Publisher: Ethics International Press
Release Date : 2024-08-01
Stress Testing Within The Banking Industry written by Felix Lessambo and has been published by Ethics International Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-08-01 with Business & Economics categories.
Central banks have become part of our modern life. Understanding their operations and policies is important, even to a layperson. At the core of their mission is financial stability. The stress test is one of the tools that Central Banks (or monetary authorities) use to assess how sound commercial banks are within their jurisdictions at any point in time. Bank stress testing is designed to test the resilience of banks to severe but plausible shocks. These scenarios are conceived around a fall of asset prices, a shock to interest rates, a reassessment of risk premiums or a large depreciation to correct an external imbalance. Nonetheless, passing a stress test does not provide a blind assurance that a financial institution is safe and outside the reach of collapse. This book aims to educate on the risks tested and the methods often used in stress testing. It is the first book in its field to make a comprehensive and up-to-date analysis of stress testing, including climate risk.
2023 Review Of The Fund S Anti Money Laundering And Combating The Financing Of Terrorism Strategy Background Papers
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Author : International Monetary Fund. Legal Dept.
language : en
Publisher: International Monetary Fund
Release Date : 2023-12-05
2023 Review Of The Fund S Anti Money Laundering And Combating The Financing Of Terrorism Strategy Background Papers written by International Monetary Fund. Legal Dept. 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 2023-12-05 with Business & Economics categories.
The background papers support the stocktaking analysis and the proposed way forward for the 2023 review of the IMF's AML/CFT Strategy. The five background papers provide in-depth discussions on the following key topics: (i) illicit financial flows; (ii) the impact of money laundering in financial stability; (iii) synergies between financial integrity issues and other Fund policies and work; (iv) the Fund’s collaboration with key partners in the AML/CFT global policy architecture; and (v) stakeholders’ views of the effectiveness of the Fund’s AML/CFT engagement.