Macroprudential Solvency Stress Testing Of The Insurance Sector
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Macroprudential Solvency Stress Testing Of The Insurance Sector
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Author : Mr.Andreas A. Jobst
language : en
Publisher: International Monetary Fund
Release Date : 2014-07-22
Macroprudential Solvency Stress Testing Of The Insurance Sector 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 2014-07-22 with Business & Economics categories.
Over the last decade, stress testing has become a central aspect of the Fund’s bilateral and multilateral surveillance work. Recently, more emphasis has also been placed on the role of insurance for financial stability analysis. This paper reviews the current state of system-wide solvency stress tests for insurance based on a comparative review of national practices and the experiences from Fund’s FSAP program with the aim of providing practical guidelines for the coherent and consistent implementation of such exercises. The paper also offers recommendations on improving the current insurance stress testing approaches and presentation of results.
Macroprudential Solvency Stress Testing Of The Insurance Sector
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Author : Andreas A. Jobst
language : en
Publisher:
Release Date : 2014
Macroprudential Solvency Stress Testing Of The Insurance Sector 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 2014 with categories.
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.
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.
Norway Financial Sector Assessment Program Technical Note Insurance Sector Stress Tests
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Author : International Monetary Fund. Monetary and Capital Markets Department
language : en
Publisher: International Monetary Fund
Release Date : 2015-09-17
Norway Financial Sector Assessment Program Technical Note Insurance Sector Stress Tests written by International Monetary Fund. Monetary and Capital Markets Department 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 2015-09-17 with Business & Economics categories.
This Technical Note presents key findings of insurance sector stress tests on Norway. Although the financial condition of insurance companies under Solvency I has generally been sound, insurers face major challenges going forward, thus placing an important premium on sound risk management and effective oversight by supervisors. The stress tests (under Solvency II) confirm that life insurers are vulnerable to severe shocks. The stress tests pointed to the high sensitivity of life insurers to market risks such as equity prices, real estate prices, and credit spreads. The risks to insurers are particularly pronounced if interest rates fall further from the current levels.
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.
United Kingdom
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Author : International Monetary Fund. Monetary and Capital Markets Department
language : en
Publisher: International Monetary Fund
Release Date : 2016-06-17
United Kingdom written by International Monetary Fund. Monetary and Capital Markets Department 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 2016-06-17 with Business & Economics categories.
This paper discusses how Financial Sector Assessment Program (FSAP) stress test assesses the resilience of the banking sector as a whole rather than the capital adequacy of individual institutions. The FSAP approach to stress testing is essentially macroprudential: it focuses on resilience of the broader financial system to adverse macro-financial conditions rather than on resilience of individual banks to specific shocks. This test ensures consistency in macroeconomic scenarios and metrics across firms to facilitate the assessment of the banking system as a whole. The stress test analysis is intended to help country authorities to identify key sources of systemic risk in the banking sector and inform macroprudential policies to enhance its resilience to absorb shocks.
Germany
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Author : International Monetary Fund. Monetary and Capital Markets Department
language : en
Publisher: International Monetary Fund
Release Date : 2016-06-30
Germany written by International Monetary Fund. Monetary and Capital Markets Department 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 2016-06-30 with Business & Economics categories.
This paper assesses Germany’s financial system and, in particular, its potential for spillover risk. The analysis comprises structural and financial statement analyses, detailed stress tests for banks and insurance companies, and spillover risk analysis. Solvency and liquidity stress tests cover all 1,776 banks operating in Germany, and insurance-sector analysis covers 93 percent of the life insurance sector in terms of the assets. Germany is highly interconnected through trade and financial channels. The total consolidated claims of German banks on foreign banks, nonbank private sector, and public sector stood at about $1.7 trillion in the second quarter of 2015, with the majority of cross-border exposures vis-à-vis France, Italy, the United Kingdom, and the United States.
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.
Macroprudential Supervision In Insurance
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Author : J. Monkiewicz
language : en
Publisher: Springer
Release Date : 2014-11-04
Macroprudential Supervision In Insurance written by J. Monkiewicz and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-04 with Business & Economics categories.
Macroprudential policies, tools and supervision have become important since the last financial crisis. This book addresses general and methodological issues and provides a framework for the analysis of macroprudential policies and supervision in insurance. It focuses on policy related issues and global level aspects of macroprudential in insurance.