A Framework for Macroprudential Bank Solvency Stress Testing: Application to S-25 and Other G-20 Country FSAPs
The global financial crisis has placed the spotlight squarely on bank stress tests. Stress tests conducted in the lead-up to the crisis, including those by IMF staff, were not always able to identify the right risks and vulnerabilities. Since then, IMF staff has developed more robust stress testing...
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| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Washington, D.C
International Monetary Fund
2013
|
| Series: | IMF Working Papers
Working Paper No. 13/68 |
| Online Access: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Summary: | The global financial crisis has placed the spotlight squarely on bank stress tests. Stress tests conducted in the lead-up to the crisis, including those by IMF staff, were not always able to identify the right risks and vulnerabilities. Since then, IMF staff has developed more robust stress testing methods and models and adopted a more coherent and consistent approach. This paper articulates the solvency stress testing framework that is being applied in the IMF's surveillance of member countries' banking systems, and discusses examples of its actual implementation in FSAPs to 18 countries which are in the group comprising the 25 most systemically important financial systems ("S-25") plus other G-20 countries. In doing so, the paper also offers useful guidance for readers seeking to develop their own stress testing frameworks and country authorities preparing for FSAPs. A detailed Stress Test Matrix (STeM) comparing the stress test parameters applie in each of these major country FSAPs is provided, together with our stress test output templates |
| Physical Description: | 1 Online-Ressource (55 p) |
| ISBN: | 1616355077 9781616355074 |
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| index_date | 2024-07-03T20:13:15Z |
| indexdate | 2024-07-10T09:35:22Z |
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| record_format | marc |
| series2 | IMF Working Papers |
| spelling | Jobst, Andreas A. Verfasser aut A Framework for Macroprudential Bank Solvency Stress Testing Application to S-25 and Other G-20 Country FSAPs Jobst, Andreas A Washington, D.C International Monetary Fund 2013 1 Online-Ressource (55 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 13/68 The global financial crisis has placed the spotlight squarely on bank stress tests. Stress tests conducted in the lead-up to the crisis, including those by IMF staff, were not always able to identify the right risks and vulnerabilities. Since then, IMF staff has developed more robust stress testing methods and models and adopted a more coherent and consistent approach. This paper articulates the solvency stress testing framework that is being applied in the IMF's surveillance of member countries' banking systems, and discusses examples of its actual implementation in FSAPs to 18 countries which are in the group comprising the 25 most systemically important financial systems ("S-25") plus other G-20 countries. In doing so, the paper also offers useful guidance for readers seeking to develop their own stress testing frameworks and country authorities preparing for FSAPs. A detailed Stress Test Matrix (STeM) comparing the stress test parameters applie in each of these major country FSAPs is provided, together with our stress test output templates Online-Ausg Ong, Li L. Sonstige oth Schmieder, Christian Sonstige oth http://elibrary.imf.org/view/IMF001/20343-9781616355074/20343-9781616355074/20343-9781616355074.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Jobst, Andreas A. A Framework for Macroprudential Bank Solvency Stress Testing Application to S-25 and Other G-20 Country FSAPs |
| title | A Framework for Macroprudential Bank Solvency Stress Testing Application to S-25 and Other G-20 Country FSAPs |
| title_auth | A Framework for Macroprudential Bank Solvency Stress Testing Application to S-25 and Other G-20 Country FSAPs |
| title_exact_search | A Framework for Macroprudential Bank Solvency Stress Testing Application to S-25 and Other G-20 Country FSAPs |
| title_exact_search_txtP | A Framework for Macroprudential Bank Solvency Stress Testing Application to S-25 and Other G-20 Country FSAPs |
| title_full | A Framework for Macroprudential Bank Solvency Stress Testing Application to S-25 and Other G-20 Country FSAPs Jobst, Andreas A |
| title_fullStr | A Framework for Macroprudential Bank Solvency Stress Testing Application to S-25 and Other G-20 Country FSAPs Jobst, Andreas A |
| title_full_unstemmed | A Framework for Macroprudential Bank Solvency Stress Testing Application to S-25 and Other G-20 Country FSAPs Jobst, Andreas A |
| title_short | A Framework for Macroprudential Bank Solvency Stress Testing |
| title_sort | a framework for macroprudential bank solvency stress testing application to s 25 and other g 20 country fsaps |
| title_sub | Application to S-25 and Other G-20 Country FSAPs |
| url | http://elibrary.imf.org/view/IMF001/20343-9781616355074/20343-9781616355074/20343-9781616355074.xml |
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