Stress Testing of Banking Systems (in English)
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.
Volume (Year): 55 (2005)
Issue (Month): 9-10 (September)
|Contact details of provider:|| Postal: |
Phone: +420 2 222112330
Fax: +420 2 22112304
Web page: http://ies.fsv.cuni.cz/Email:
More information through EDIRC
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.:
- Martin Cihak, 2004. "Designing Stress Tests for the Czech Banking System," Research and Policy Notes 2004/03, Czech National Bank, Research Department.
- 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, April.
- 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.
- Helmut Elsinger & Alfred Lehar & Martin Summer, 2002. "A New Approach to Assessing the Risk of Interbank Loans," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 75-86.
- International Monetary Fund, 2002. "Financial Soundness Indicators; Analytical Aspects and Country Practices," IMF Occasional Papers 212, International Monetary Fund.
- DeLisle Worrell, 2004. "Quantitative Assessment of the Financial Sector; An Integrated Approach," IMF Working Papers 04/153, International Monetary Fund.
- Marco Sorge, 2004. "Stress-testing financial systems: an overview of current methodologies," BIS Working Papers 165, Bank for International Settlements.
- 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.
- Jingqing Chai & R. B. Johnston, 2000. "An Incentive Approach to Identifying Financial System Vulnerabilities," IMF Working Papers 00/211, International Monetary Fund.
- repec:onb:oenbwp:y:2002:i:3:b:3 is not listed on IDEAS
- Harvir Kalirai & Martin Scheicher, 2002. "Macroeconomic Stress Testing: Preliminary Evidence for Austria," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 58-74.
- 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.
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 references are entirely missing, you can add them using this form.