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Stress Testing At the IMF

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Author Info

  • Mark Swinburne
  • Stéphanie Marie Stolz
  • Marina Moretti

Abstract

For almost a decade, the IMF has been using stress tests to identify vulnerabilities across institutions that could undermine the stability of a country''s financial system. This working paper focuses on the IMF''s experience with stress testing in the Financial Sector Assessment Program (FSAP). It provides background on the nature of an FSAP and the role of macro stress testing within it. It also describes how the methodology of stress testing in FSAPs has been evolving and what are fairly common approaches now being used. Finally, it discusses the main strengths and challenges for future development of macro stress testing in FSAPs and provides an overview of stress testing practice in European FSAPs.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 08/206.

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Length: 23
Date of creation: 01 Sep 2008
Date of revision:
Handle: RePEc:imf:imfwpa:08/206

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Postal: International Monetary Fund, Washington, DC USA
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Web page: http://www.imf.org/external/pubind.htm
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Related research

Keywords: Stress testing; Financial stability; Credit risk; Financial Sector Assessment Program; Financial systems; risk modeling; financial sector; financial institutions; financial system; financial markets; insurance companies; market risk; interest rate risk; risk market; supervisory agencies; risk analysis; price risk; pension funds; applications; risk management; risk profile; international standards; stock market; financial sector crises; stock market index; financial conglomerates; money market; risk model;

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References

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  1. Dale F. Gray & James P Walsh, 2008. "Factor Model for Stress-Testing with a Contingent Claims Model of the Chilean Banking System," IMF Working Papers 08/89, International Monetary Fund.
  2. Dimitrios P Tsomocos & O. AspachsC. GoodhartM. SegovianoL. Zicchino, 2006. "Searching for a Metric for Financial Stability," Economics Series Working Papers 2006-FE-09, University of Oxford, Department of Economics.
  3. Paul Louis Ceriel Hilbers & Matthew T. Jones & Graham L. Slack, 2004. "Stress Testing Financial Systems," IMF Working Papers 04/127, International Monetary Fund.
  4. Miguel Segoviano, 2006. "Consistent Information Multivariate Density Optimizing Methodology," FMG Discussion Papers dp557, Financial Markets Group.
  5. Miguel A. Segoviano, 2006. "Conditional probability of default methodology," LSE Research Online Documents on Economics 24512, London School of Economics and Political Science, LSE Library.
  6. Kexue Liu & Jean Salvati & Renzo G. Avesani & Alin Mirestean, 2006. "Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)," IMF Working Papers 06/134, International Monetary Fund.
  7. Li L. Ong & Martin Cihák, 2007. "Estimating Spillover Risk Among Large EU Banks," IMF Working Papers 07/267, International Monetary Fund.
  8. Andrea M. Maechler & Alexander F. Tieman, 2009. "The Real Effects of Financial Sector Risk," IMF Working Papers 09/198, International Monetary Fund.
  9. Jorge A. Chan-Lau & Srobona Mitra & Li L. Ong, 2007. "Contagion Risk in the International Banking System and Implications for London As a Global Financial Center," IMF Working Papers 07/74, International Monetary Fund.
  10. C. A. E. Goodhart & Miguel A. Segoviano Basurto & Boris Hofmann, 2006. "Default, Credit Growth, and Asset Prices," IMF Working Papers 06/223, International Monetary Fund.
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Citations

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Cited by:
  1. Havrylchyk, Olena, 2010. "A macroeconomic credit risk model for stress testing the South African banking sector," MPRA Paper 21639, University Library of Munich, Germany.
  2. Basu, Sanjay, 2011. "Comparing simulation models for market risk stress testing," European Journal of Operational Research, Elsevier, vol. 213(1), pages 329-339, August.
  3. Man Cho, 2009. "Managing Mortgage Credit Risk: What Went Wrong With the Subprime and Alt-A Markets?," International Real Estate Review, Asian Real Estate Society, vol. 12(3), pages 295-324.
  4. Rasmus Kattai, 2010. "Credit risk model for the Estonian banking sector," Bank of Estonia Working Papers wp2010-01, Bank of Estonia, revised 04 Feb 2010.
  5. Francisco Nadal De Simone & Franco Stragiotti, 2010. "Market and Funding Liquidity Stress Testing of the Luxembourg Banking Sector," BCL working papers 45, Central Bank of Luxembourg.
  6. Solntsev, O. & Mamonov, M. & Pestova, A. & Magomedova, Z., 2011. "Experience in Developing Early Warning System for Financial Crises and the Forecast of Russian Banking Sector Dynamic in 2012," Journal of the New Economic Association, New Economic Association, issue 12, pages 41-76.

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