Advanced Search
MyIDEAS: Login

Stress Testing of Financial Systems

Contents:

Author Info

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

Abstract

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.

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://www.imf.org/external/pubs/cat/longres.aspx?sk=15166
Download Restriction: no

Bibliographic Info

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

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

Contact details of provider:
Postal: International Monetary Fund, Washington, DC USA
Phone: (202) 623-7000
Fax: (202) 623-4661
Email:
Web page: http://www.imf.org/external/pubind.htm
More information through EDIRC

Order Information:
Web: http://www.imf.org/external/pubs/pubs/ord_info.htm

Related research

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;

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.

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:imf:imfwpa:01/88. 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: (Jim Beardow) or (Hassan Zaidi).

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.