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Stress Testing of Financial Systems


Author Info

  • Maria Soledad Martinez Peria
  • Giovanni Majnoni
  • Matthew T. Jones
  • Winfrid Blaschke


The paper has three objectives. After a general introduction to some of the concepts and basic techniques of stress testing, the paper gives an overview of some of the conceptual issues involved in evaluating risks at the aggregated level of financial systems. Second, this study provides a basic framework and toolkit for conducting stress tests. Finally, the paper reviews some of the stress-testing analyses conducted in the context of the Financial Sector Assessment Program (FSAP) and suggests simplified approaches to deal with situations where the quantity and quality of the data is less than ideal.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 01/88.

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Length: 56
Date of creation: 01 Jun 2001
Date of revision:
Handle: RePEc:imf:imfwpa:01/88

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Postal: International Monetary Fund, Washington, DC USA
Phone: (202) 623-7000
Fax: (202) 623-4661
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Keywords: Stress testing; Credit risk; credit; financial institutions; interest rate risk; prices; financial system; financial systems; cash flows; stock market; price risk; financial sector; bonds; present value; bond; stock price; stock prices; cash flow; reserve requirements; systemic risk; financial markets; corporate bond; stock indices; financial fragility; bond issuers; bond issues; liquid liabilities; stock market crash; stock markets; stock options; stock price volatility; pricing; commodity derivatives; financial services; currency crises; corporate bond issuers; government bonds; payments; term bonds; currency crisis; terms of trade; derivative; financial instruments; financial structure; asset markets; stock exchange; stock market developments; contractual obligations; derivatives instruments; equity derivative; foreign bonds; corporate bonds; stock index; equity derivatives; short-term bonds; stock price fluctuations; financial assets; payment system; bond market; nominal interest rate; financial sector development; liquid asset; stock market index; long-term bonds; hedging instruments; eurobonds; future cash flows; reserve requirement; stock price indices; stock market crashes; foreign exchange derivatives; exchange rate revaluation; corporate bond issues; derivatives transactions; international finance; backwardation; future value; stock market liquidity; hedging; domestic financial system; contango; financial instability;


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