Macroprudential Stress Test And Policies
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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.
Handbook Of Financial Stress Testing
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Author : J. Doyne Farmer
language : en
Publisher:
Release Date : 2022-04-14
Handbook Of Financial Stress Testing written by J. Doyne Farmer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-04-14 with Business & Economics categories.
Discover current uses and future development of stress tests, the most innovative regulatory tool to prevent and fight financial crises.
Revisiting Risk Weighted Assets
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Author : Vanessa Le Leslé
language : en
Publisher: International Monetary Fund
Release Date : 2012-03-01
Revisiting Risk Weighted Assets written by Vanessa Le Leslé 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 2012-03-01 with Business & Economics categories.
In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital adequacy framework. We discuss the key drivers behind the differences in these calculations, drawing upon a sample of systemically important banks from Europe, North America, and Asia Pacific. We then discuss a range of policy options that could be explored to fix the actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios.
Macroprudential Stress Tests And Policies Searching For Robust And Implementable Frameworks
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Author : Ron Anderson
language : en
Publisher: International Monetary Fund
Release Date : 2018-09-11
Macroprudential Stress Tests And Policies Searching For Robust And Implementable Frameworks written by Ron Anderson 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 2018-09-11 with Business & Economics categories.
Macroprudential stress testing (MaPST) is becoming firmly embedded in the post-crisis policy-frameworks of financial-sectors around the world. MaPSTs can offer quantitative, forward-looking assessments of the resilience of financial systems as a whole, to particularly adverse shocks. Therefore, they are well suited to support the surveillance of macrofinancial vulnerabilities and to inform the use of macroprudential policy-instruments. This report summarizes the findings of a joint-research effort by MCM and the Systemic-Risk-Centre, which aimed at (i) presenting state-of-the-art approaches on MaPST, including modeling and implementation-challenges; (ii) providing a roadmap for future-research, and; (iii) discussing the potential uses of MaPST to support policy.
Macroprudential Stress Tests And Policies Searching For Robust And Implementable Frameworks
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Author : Ron Anderson
language : en
Publisher: International Monetary Fund
Release Date : 2018-09-11
Macroprudential Stress Tests And Policies Searching For Robust And Implementable Frameworks written by Ron Anderson 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 2018-09-11 with Business & Economics categories.
Macroprudential stress testing (MaPST) is becoming firmly embedded in the post-crisis policy-frameworks of financial-sectors around the world. MaPSTs can offer quantitative, forward-looking assessments of the resilience of financial systems as a whole, to particularly adverse shocks. Therefore, they are well suited to support the surveillance of macrofinancial vulnerabilities and to inform the use of macroprudential policy-instruments. This report summarizes the findings of a joint-research effort by MCM and the Systemic-Risk-Centre, which aimed at (i) presenting state-of-the-art approaches on MaPST, including modeling and implementation-challenges; (ii) providing a roadmap for future-research, and; (iii) discussing the potential uses of MaPST to support policy.
Cross Border Financial Surveillance
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Author : Marco A Espinosa-Vega
language : en
Publisher: International Monetary Fund
Release Date : 2010-04-01
Cross Border Financial Surveillance written by Marco A Espinosa-Vega 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 2010-04-01 with Business & Economics categories.
Effective cross-border financial surveillance requires the monitoring of direct and indirect systemic linkages. This paper illustrates how network analysis could make a significant contribution in this regard by simulating different credit and funding shocks to the banking systems of a number of selected countries. After that, we show that the inclusion of risk transfers could modify the risk profile of entire financial systems, and thus an enriched simulation algorithm able to account for risk transfers is proposed. Finally, we discuss how some of the limitations of our simulations are a reflection of existing information and data gaps, and thus view these shortcomings as a call to improve the collection and analysis of data on cross-border financial exposures.
Introduction To Applied Stress Testing
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Author : Martin Cihák
language : en
Publisher: International Monetary Fund
Release Date : 2007-03
Introduction To Applied Stress Testing written by Martin Cihák 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 2007-03 with Business & Economics categories.
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.
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).
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.