Designing Effective Macroprudential Stress Tests: Progress So Far and the Way Forward
Giving stress tests a macroprudential perspective requires (i) incorporating general equilibrium dimensions, so that the outcome of the test depends not only on the size of the shock and the buffers of individual institutions but also on their behavioral responses and their interactions with each ot...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2015
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| Schriftenreihe: | IMF Working Papers: Working Paper No. 15 / 146
|
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | Giving stress tests a macroprudential perspective requires (i) incorporating general equilibrium dimensions, so that the outcome of the test depends not only on the size of the shock and the buffers of individual institutions but also on their behavioral responses and their interactions with each other and with other economic agents; and (ii) focusing on the resilience of the system as a whole. Progress has been made toward the first goal: several models are now available that attempt to integrate solvency, liquidity, and other sources of risk and to capture some behavioral responses and feedback effects. But building models that measure correctly systemic risk and the contribution of individual institutions to it while, at the same time, relating the results to the established regulatory framework has proved more difficult. Looking forward, making macroprudential stress tests more effective would entail using a variety of analytical approaches and scenarios, integrating non-bank financial entities, and exploring the use of agent-based models. As well, macroprudential stress tests should not be used in isolation but be treated as complements to other tools and-crucially-be combined with microprudential perspectives |
| Beschreibung: | 1 Online-Ressource (34 p) |
| ISBN: | 1513513621 9781513513621 |
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| 520 | 3 | |a Giving stress tests a macroprudential perspective requires (i) incorporating general equilibrium dimensions, so that the outcome of the test depends not only on the size of the shock and the buffers of individual institutions but also on their behavioral responses and their interactions with each other and with other economic agents; and (ii) focusing on the resilience of the system as a whole. Progress has been made toward the first goal: several models are now available that attempt to integrate solvency, liquidity, and other sources of risk and to capture some behavioral responses and feedback effects. But building models that measure correctly systemic risk and the contribution of individual institutions to it while, at the same time, relating the results to the established regulatory framework has proved more difficult. Looking forward, making macroprudential stress tests more effective would entail using a variety of analytical approaches and scenarios, integrating non-bank financial entities, and exploring the use of agent-based models. As well, macroprudential stress tests should not be used in isolation but be treated as complements to other tools and-crucially-be combined with microprudential perspectives | |
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| index_date | 2024-07-03T20:13:37Z |
| indexdate | 2024-07-10T09:35:47Z |
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| record_format | marc |
| series2 | IMF Working Papers: Working Paper No. 15 / 146 |
| spelling | Demekas, Dimitri G Verfasser aut Designing Effective Macroprudential Stress Tests Progress So Far and the Way Forward Demekas, Dimitri G Washington, D.C International Monetary Fund 2015 1 Online-Ressource (34 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers: Working Paper No. 15 / 146 Giving stress tests a macroprudential perspective requires (i) incorporating general equilibrium dimensions, so that the outcome of the test depends not only on the size of the shock and the buffers of individual institutions but also on their behavioral responses and their interactions with each other and with other economic agents; and (ii) focusing on the resilience of the system as a whole. Progress has been made toward the first goal: several models are now available that attempt to integrate solvency, liquidity, and other sources of risk and to capture some behavioral responses and feedback effects. But building models that measure correctly systemic risk and the contribution of individual institutions to it while, at the same time, relating the results to the established regulatory framework has proved more difficult. Looking forward, making macroprudential stress tests more effective would entail using a variety of analytical approaches and scenarios, integrating non-bank financial entities, and exploring the use of agent-based models. As well, macroprudential stress tests should not be used in isolation but be treated as complements to other tools and-crucially-be combined with microprudential perspectives Online-Ausg http://www.elibrary.imf.org/view/IMF001/22644-9781513513621/22644-9781513513621/22644-9781513513621.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Demekas, Dimitri G Designing Effective Macroprudential Stress Tests Progress So Far and the Way Forward |
| title | Designing Effective Macroprudential Stress Tests Progress So Far and the Way Forward |
| title_auth | Designing Effective Macroprudential Stress Tests Progress So Far and the Way Forward |
| title_exact_search | Designing Effective Macroprudential Stress Tests Progress So Far and the Way Forward |
| title_exact_search_txtP | Designing Effective Macroprudential Stress Tests Progress So Far and the Way Forward |
| title_full | Designing Effective Macroprudential Stress Tests Progress So Far and the Way Forward Demekas, Dimitri G |
| title_fullStr | Designing Effective Macroprudential Stress Tests Progress So Far and the Way Forward Demekas, Dimitri G |
| title_full_unstemmed | Designing Effective Macroprudential Stress Tests Progress So Far and the Way Forward Demekas, Dimitri G |
| title_short | Designing Effective Macroprudential Stress Tests |
| title_sort | designing effective macroprudential stress tests progress so far and the way forward |
| title_sub | Progress So Far and the Way Forward |
| url | http://www.elibrary.imf.org/view/IMF001/22644-9781513513621/22644-9781513513621/22644-9781513513621.xml |
| work_keys_str_mv | AT demekasdimitrig designingeffectivemacroprudentialstresstestsprogresssofarandthewayforward |