Advanced Search
MyIDEAS: Login

Stress Testing of Banking Systems (in English)

Contents:

Author Info

  • Martin Èihák

    ()
    (International Monetary Fund, Washington, D.C.)

Abstract

In response to the increased financial instability of many countries in the 1990s, policy makers sought a better understanding of the vulnerabilities of financial systems and of measures that could help prevent financial crises. A key technique for quantifying financial-sector vulnerabilities is stress testing. This paper surveys the literature in the developing field of stress-testing financial systems and in particular banking systems. Stress tests are useful because they provide a quantitative measure of the vulnerability of a financial system to risk factors. This can be useful in combination with other analyses to draw conclusions about the overall stability of a financial system. The value added of macroprudential stress tests derives from their forward-looking macroeconomic perspective, their focus on the financial system as a whole, and their uniform approach to the assessment of risk exposures across institutions. The value added of stress tests can be particularly high if tests are performed regularly and their results analyzed over time.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://journal.fsv.cuni.cz/storage/1030_s_418_440.pdf
Download Restriction: no

Bibliographic Info

Article provided by Charles University Prague, Faculty of Social Sciences in its journal Finance a uver - Czech Journal of Economics and Finance.

Volume (Year): 55 (2005)
Issue (Month): 9-10 (September)
Pages: 418-440

as in new window
Handle: RePEc:fau:fauart:v:55:y:2005:i:9-10:p:418-440

Contact details of provider:
Postal: Opletalova 26, CZ-110 00 Prague
Phone: +420 2 222112330
Fax: +420 2 22112304
Email:
Web page: http://ies.fsv.cuni.cz/
More information through EDIRC

Related research

Keywords: financial soundness; financial systems; stress testing;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Bank for International Settlements, 2001. "A survey of stress tests and current practice at major financial institutions," CGFS Papers, Bank for International Settlements, number 18, January.
  2. Lehar, Alfred & Summer, Martin & Elsinger, Helmut, 2002. "A New Approach to Assessing the Risk of Interbank Loans," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 3.
  3. Marco Sorge, 2004. "Stress-testing financial systems: an overview of current methodologies," BIS Working Papers 165, Bank for International Settlements.
  4. Jingqing Chai & R. B. Johnston, 2000. "An Incentive Approach to Identifying Financial System Vulnerabilities," IMF Working Papers 00/211, International Monetary Fund.
  5. Maria Soledad Martinez Peria & Giovanni Majnoni & Matthew T. Jones & Winfrid Blaschke, 2001. "Stress Testing of Financial Systems: An Overview of Issues, Methodologies, and FSAP Experiences," IMF Working Papers 01/88, International Monetary Fund.
  6. International Monetary Fund, 2002. "Financial Soundness Indicators: Analytical Aspects and Country Practices," IMF Occasional Papers 212, International Monetary Fund.
  7. DeLisle Worrell, 2004. "Quantitative Assessment of the Financial Sector: An Integrated Approach," IMF Working Papers 04/153, International Monetary Fund.
  8. Furfine, Craig H, 2003. " Interbank Exposures: Quantifying the Risk of Contagion," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 35(1), pages 111-28, February.
  9. Paul Louis Ceriel Hilbers & Matthew T. Jones & Graham L. Slack, 2004. "Stress Testing Financial Systems: What to Do When the Governor Calls," IMF Working Papers 04/127, International Monetary Fund.
  10. Martin Cihak, 2004. "Designing Stress Tests for the Czech Banking System," Research and Policy Notes 2004/03, Czech National Bank, Research Department.
  11. Scheicher, Martin & Kalirai, Harvir, 2002. "Macroeconomic Stress Testing: Preliminary Evidence for Austria," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 3.
  12. repec:onb:oenbwp:y:2002:i:3:b:3 is not listed on IDEAS
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:fau:fauart:v:55:y:2005:i:9-10:p:418-440. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lenka Herrmannova).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.