Stress Testing at the IMF
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.
|Date of creation:||01 Sep 2008|
|Date of revision:|
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- 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.
- 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.
- 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.
- 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.
- O. Aspachs & C. Goodhart & M. Segoviano & D. Tsomocos & L. Zicchino, 2006. "Searching for a Metric for Financial Stability," OFRC Working Papers Series 2006fe09, Oxford Financial Research Centre.
- Lea Zicchino & Dimitrios Tsomocos & Miguel Segoviano & Charles Goodhart & Oriol Aspachs Bracon, 2006. "Searching for a Metric for Financial Stability," FMG Special Papers sp167, Financial Markets Group.
- Kexue Liu & Jean Salvati & Renzo G Avesani & Alin T Mirestean, 2006. "Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)," IMF Working Papers 06/134, International Monetary Fund.
- 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.
- Andrea M. Maechler & Alexander F. Tieman, 2009. "The Real Effects of Financial Sector Risk," IMF Working Papers 09/198, International Monetary Fund.
- Li L Ong & Martin Cihak, 2007. "Estimating Spillover Risk Among Large EU Banks," IMF Working Papers 07/267, International Monetary Fund.
- Miguel Segoviano, 2006. "Consistent Information Multivariate Density Optimizing Methodology," FMG Discussion Papers dp557, Financial Markets Group.
- 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.
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