IDEAS home Printed from https://ideas.repec.org/p/imf/imfwpa/2014-133.html
   My bibliography  Save this paper

Macroprudential Solvency Stress Testing of the Insurance Sector

Author

Listed:
  • Andreas Jobst
  • Nobuyasu Sugimoto
  • Timo Broszeit

Abstract

Over the last decade, stress testing has become a central aspect of the Fund’s bilateral and multilateral surveillance work. Recently, more emphasis has also been placed on the role of insurance for financial stability analysis. This paper reviews the current state of system-wide solvency stress tests for insurance based on a comparative review of national practices and the experiences from Fund’s FSAP program with the aim of providing practical guidelines for the coherent and consistent implementation of such exercises. The paper also offers recommendations on improving the current insurance stress testing approaches and presentation of results.

Suggested Citation

  • Andreas Jobst & Nobuyasu Sugimoto & Timo Broszeit, 2014. "Macroprudential Solvency Stress Testing of the Insurance Sector," IMF Working Papers 2014/133, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2014/133
    as

    Download full text from publisher

    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=41776
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Lin Wang & Ali M Kutan, 2013. "The Impact of Natural Disasters on Stock Markets: Evidence from Japan and the US," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 55(4), pages 672-686, December.
    2. International Monetary Fund, 2007. "Mexico: Financial Sector Assessment Program Update: Technical Note: Risk Management Practices and Stress Tests of Commercial Banks, The Insurance Sector, and the Derivatives Exchange," IMF Staff Country Reports 2007/165, International Monetary Fund.
    Full references (including those not matched with items on IDEAS)

    Citations

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


    Cited by:

    1. Philippe Deprez & Mario V. Wüthrich, 2016. "Macroprudential Insurance Regulation: A Swiss Case Study," Risks, MDPI, vol. 4(4), pages 1-30, December.
    2. Christoph Aymanns & J. Doyne Farmer & Alissa M. Keinniejenhuis & Thom Wetzer, 2017. "Models of Financial Stability and their Application in Stress Tests," Working Papers on Finance 1805, University of St. Gallen, School of Finance.
    3. Falter, Alexander & Kleemann, Michael & Strobel, Lena & Wilke, Hannes, 2021. "Stress testing market risk of German financial intermediaries," Technical Papers 11/2021, Deutsche Bundesbank.
    4. Chang Liu & Lin Tang & Dongtao Lin & Jiayi Guo, 2023. "Testing to extreme: An application of reverse stress testing engineering on mortgages of commercial banks in China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 187-192, January.
    5. Svitlana Achkasova, 2019. "The Scale Measurement of the Indicators of the Stress Resistance Assessment of Insurance Companies in Ukraine," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 161-183.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Malik, Ihtisham A. & Chowdhury, Hasibul & Alam, Md Samsul, 2023. "Equity market response to natural disasters: Does firm's corporate social responsibility make difference?," Global Finance Journal, Elsevier, vol. 55(C).
    2. Lin, Boqiang & Bai, Rui, 2021. "Oil prices and economic policy uncertainty: Evidence from global, oil importers, and exporters’ perspective," Research in International Business and Finance, Elsevier, vol. 56(C).
    3. Asima Siddique & Ghulam Mujtaba Kayani & Saira Ashfaq, 2021. "Does Heterogeneity in COVID-19 News Affect Asset Market? Monte-Carlo Simulation Based Wavelet Transform," JRFM, MDPI, vol. 14(10), pages 1-16, October.
    4. Lee, Chien-Chiang & Chen, Mei-Ping, 2020. "Do natural disasters and geopolitical risks matter for cross-border country exchange-traded fund returns?," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    5. Mirzosaid Sultonov, 2020. "The Impacts of International Political and Economic Events on Japanese Financial Markets," IJFS, MDPI, vol. 8(3), pages 1-10, July.
    6. Donadelli, M. & Jüppner, M. & Paradiso, A. & Ghisletti, M., 2020. "Tornado activity, house prices, and stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    7. Rico Ihle & Ziv Bar‐Nahum & Oleg Nivievskyi & Ofir D. Rubin, 2022. "Russia’s invasion of Ukraine increased the synchronisation of global commodity prices," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 66(4), pages 775-796, October.
    8. Alexakis, Christos & Eleftheriou, Konstantinos & Patsoulis, Patroklos, 2021. "COVID-19 containment measures and stock market returns: An international spatial econometrics investigation," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
    9. Qiuyun Wang & Lu Liu, 2022. "Pandemic or panic? A firm-level study on the psychological and industrial impacts of COVID-19 on the Chinese stock market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-38, December.
    10. Nhan Huynh & Dat Nguyen & Anh Dao, 2021. "Sectoral Performance and the Government Interventions during COVID-19 Pandemic: Australian Evidence," JRFM, MDPI, vol. 14(4), pages 1-16, April.
    11. Ihtisham A. Malik & Robert Faff, 2022. "Industry market reaction to natural disasters: do firm characteristics and disaster magnitude matter?," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 111(3), pages 2963-2994, April.
    12. Zhang, Dan & Farnoosh, Arash & Lantz, Frédéric, 2022. "Does something change in the oil market with the COVID-19 crisis?," International Economics, Elsevier, vol. 169(C), pages 252-268.
    13. Márkus, Martin, 2023. "A társadalmi felelősségi pontszámok és a működési kockázat kapcsolata kockázati kategóriák szerint [The relationship between the ESG score and operational risk in different risk categories]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 746-771.
    14. Zhimei Lei & Kuo-Jui Wu & Li Cui & Ming K Lim, 2018. "A Hybrid Approach to Explore the Risk Dependency Structure among Agribusiness Firms," Sustainability, MDPI, vol. 10(2), pages 1-17, February.
    15. Kamphol Panyagometh, 2020. "The Effects of Pandemic Event on the Stock Exchange of Thailand," Economies, MDPI, vol. 8(4), pages 1-22, October.
    16. Di Tommaso, Caterina & Foglia, Matteo & Pacelli, Vincenzo, 2023. "The impact and the contagion effect of natural disasters on sovereign credit risk. An empirical investigation," International Review of Financial Analysis, Elsevier, vol. 87(C).
    17. Valizadeh, Pourya & Karali, Berna & Ferreira, Susana, 2017. "Ripple effects of the 2011 Japan earthquake on international stock markets," Research in International Business and Finance, Elsevier, vol. 41(C), pages 556-576.
    18. Bourdeau-Brien, Michael & Kryzanowski, Lawrence, 2017. "The impact of natural disasters on the stock returns and volatilities of local firms," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 259-270.
    19. Kwadwo Boateng Prempeh & Joseph Magnus Frimpong & Newman Amaning, 2023. "Determining the return volatility of the Ghana stock exchange before and during the COVID-19 pandemic using the exponential GARCH model," SN Business & Economics, Springer, vol. 3(1), pages 1-20, January.
    20. Ihtisham A. Malik & Robert W. Faff & Kam F. Chan, 2020. "Market response of US equities to domestic natural disasters: industry‐based evidence," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3875-3904, December.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:2014/133. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Akshay Modi (email available below). General contact details of provider: https://edirc.repec.org/data/imfffus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.