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Israel: Technical Note on Stress Test of the Banking, Insurance and Pension Sectors

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  • International Monetary Fund

Abstract

A technical note on the stress test of Israel’s banking, insurance, and pension sectors is presented. The Israel Financial Sector Assessment Program Update stress testing exercise comprises a comprehensive analysis of solvency and liquidity risks of key banking and insurance institutions. Satellite models cover housing and corporate credit, household nonhousing credit, profit components, profit retention behavior, and haircut models of government and financial institution bonds. Single-factor tests have been conducted to estimate vulnerabilities to market risk and an idiosyncratic credit shock from exposures to the largest borrower groups and the three largest corporate borrowers.

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  • International Monetary Fund, 2012. "Israel: Technical Note on Stress Test of the Banking, Insurance and Pension Sectors," IMF Staff Country Reports 2012/088, International Monetary Fund.
    • Handle: RePEc:imf:imfscr:2012/088
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    References listed on IDEAS

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    1. International Monetary Fund, 2011. "Sweden: Financial Sector Stability Assessment," IMF Staff Country Reports 2011/172, International Monetary Fund.
    2. International Monetary Fund, 2011. "United States: Selected Issues," IMF Staff Country Reports 2011/202, International Monetary Fund.
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    5. Merton, Robert C., 1977. "An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory," Journal of Banking & Finance, Elsevier, vol. 1(1), pages 3-11, June.
    6. International Monetary Fund, 2011. "United Kingdom: Stress Testing the Banking Sector Technical Note," IMF Staff Country Reports 2011/227, International Monetary Fund.
    7. International Monetary Fund, 2011. "Sweden: Financial Sector Assessment Program Update: Technical Note on Household Indebtedness: Implications for Financial Stability," IMF Staff Country Reports 2011/289, International Monetary Fund.
    8. International Monetary Fund, 2011. "Sweden: Financial Sector Assessment Program Update: Technical Note on Stress Testing of the Banking Sector," IMF Staff Country Reports 2011/288, International Monetary Fund.
    9. International Monetary Fund, 2011. "Sweden: Financial Sector Assessment Program Update: Technical Note on Reviewing the Systemic Liquidity Risk Management Framework," IMF Staff Country Reports 2011/290, International Monetary Fund.
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    Cited by:

    1. Henry, Jérôme & Zimmermann, Maik & Leber, Miha & Kolb, Markus & Grodzicki, Maciej & Amzallag, Adrien & Vouldis, Angelos & Hałaj, Grzegorz & Pancaro, Cosimo & Gross, Marco & Baudino, Patrizia & Sydow, , 2013. "A macro stress testing framework for assessing systemic risks in the banking sector," Occasional Paper Series 152, European Central Bank.
    2. Mr. Dimitri G Demekas, 2015. "Designing Effective Macroprudential Stress Tests: Progress So Far and the Way Forward," IMF Working Papers 2015/146, International Monetary Fund.

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