A Guide To Imf Stress Testing Methods And Models
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A Guide to IMF Stress Testing
Author | : Ms.Li L Ong |
Publsiher | : International Monetary Fund |
Total Pages | : 610 |
Release | : 2014-12-23 |
Genre | : Business & Economics |
ISBN | : 9781484368589 |
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The IMF has had extensive involvement in the stress testing of financial systems in its member countries. This book presents the methods and models that have been developed by IMF staff over the years and that can be applied to the gamut of financial systems. An added resource for readers is the companion CD-Rom, which makes available the toolkit with some of the models presented in the book (also located at elibrary.imf.org/page/stress-test-toolkit).
Stress Testing at the IMF
Author | : Mr.Tobias Adrian,Mr.James Morsink,MissLiliana B Schumacher |
Publsiher | : International Monetary Fund |
Total Pages | : 73 |
Release | : 2020-02-05 |
Genre | : Business & Economics |
ISBN | : 9781513520742 |
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This paper explains specifics of stress testing at the IMF. After a brief section on the evolution of stress tests at the IMF, the paper presents the key steps of an IMF staff stress test. They are followed by a discussion on how IMF staff uses stress tests results for policy advice. The paper concludes by identifying remaining challenges to make stress tests more useful for the monitoring of financial stability and an overview of IMF staff work program in that direction. Stress tests help assess the resilience of financial systems in IMF member countries and underpin policy advice to preserve or restore financial stability. This assessment and advice are mainly provided through the Financial Sector Assessment Program (FSAP). IMF staff also provide technical assistance in stress testing to many its member countries. An IMF macroprudential stress test is a methodology to assess financial vulnerabilities that can trigger systemic risk and the need of systemwide mitigating measures. The definition of systemic risk as used by the IMF is relevant to understanding the role of its stress tests as tools for financial surveillance and the IMF’s current work program. IMF stress tests primarily apply to depository intermediaries, and, systemically important banks.
Stress Testing Financial Systems
Author | : Mr.Matthew T Jones,Mr.Paul Louis Ceriel Hilbers |
Publsiher | : International Monetary Fund |
Total Pages | : 18 |
Release | : 2004-09-27 |
Genre | : Business & Economics |
ISBN | : 158906402X |
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Stress testing is becoming a widely used tool to assess potential vulnerabilities in a financial system. This booklet is intended to answer some of the basic questions that may arise as part of the process of stress testing. The pamphlet begins with a discussion of stress testing in a financial system context, highlighting some of the differences between stress tests of systems and of individual portfolios. The booklet provides an overview of the process itself, from identifying vulnerabilities, to constructing scenarios, to interpreting the results. The experience of the IMF in conducting stress testing as part of the Financial Sector Assessment Program (FSAP) is also discussed.
Macroprudential Stress Tests and Policies Searching for Robust and Implementable Frameworks
Author | : Ron Anderson,Jon Danielsson,Chikako Baba,Mr.Udaibir S Das,Mr.Heedon Kang,Miguel A. Segoviano Basurto |
Publsiher | : International Monetary Fund |
Total Pages | : 79 |
Release | : 2018-09-11 |
Genre | : Business & Economics |
ISBN | : 9781484376386 |
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Macroprudential stress testing (MaPST) is becoming firmly embedded in the post-crisis policy-frameworks of financial-sectors around the world. MaPSTs can offer quantitative, forward-looking assessments of the resilience of financial systems as a whole, to particularly adverse shocks. Therefore, they are well suited to support the surveillance of macrofinancial vulnerabilities and to inform the use of macroprudential policy-instruments. This report summarizes the findings of a joint-research effort by MCM and the Systemic-Risk-Centre, which aimed at (i) presenting state-of-the-art approaches on MaPST, including modeling and implementation-challenges; (ii) providing a roadmap for future-research, and; (iii) discussing the potential uses of MaPST to support policy.
Into the Great Unknown
Author | : Ms.Li L. Ong,Mr.Rodolfo Maino,Ms.Nombulelo Duma |
Publsiher | : International Monetary Fund |
Total Pages | : 24 |
Release | : 2010-12-01 |
Genre | : Business & Economics |
ISBN | : 9781455210893 |
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Stress testing has become the risk management tool du jour in the wake of the global financial crisis. In countries where the information reported by financial institutions is considered to be of sufficiently good quality, and supervisory and regulatory standards are high, stress tests can be of significant value. In contrast, the proliferation of stress testing in underdeveloped financial systems with weak oversight regimes is fraught with uncertainties, as it is unclear what the results actually represent and how they could be usefully applied. In this paper, problems associated with stress tests using weak data are examined. We offer a potentially more useful alternative, the "breaking point" method, which also requires close coordination with on-site supervision and complemented by other supervisory tools and qualitative information. Excel spreadsheet templates of the stress tests presented in this paper are provided.
Credibility and Crisis Stress Testing
Author | : Ms.Li L. Ong,Ceyla Pazarbasioglu |
Publsiher | : International Monetary Fund |
Total Pages | : 64 |
Release | : 2013-08-09 |
Genre | : Business & Economics |
ISBN | : 9781475527063 |
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Credibility is the bedrock of any crisis stress test. The use of stress tests to manage systemic risk was introduced by the U.S. authorities in 2009 in the form of the Supervisory Capital Assessment Program. Since then, supervisory authorities in other jurisdictions have also conducted similar exercises. In some of those cases, the design and implementation of certainelements of the framework have been criticized for their lack of credibility. This paper proposes a set of guidelines for constructing an effective crisis stress test. It combines financial markets impact studies of previous exercises with relevant case study information gleaned from those experiences to identify the key elements and to formulate their appropriate design. Pertinent concepts, issues and nuances particular to crisis stress testing are also discussed. The findings may be useful for country authorities seeking to include stress tests in their crisis management arsenal, as well as for the design of crisis programs.
Macrofinancial Stress Testing Principles and Practices
Author | : International Monetary Fund. Monetary and Capital Markets Department |
Publsiher | : International Monetary Fund |
Total Pages | : 67 |
Release | : 2012-08-22 |
Genre | : Business & Economics |
ISBN | : 9781498340021 |
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The recent financial crisis drew unprecedented attention to the stress testing of financial institutions. On one hand, stress tests were criticized for having missed many of the vulnerabilities that led to the crisis. On the other, after the onset of the crisis, they were given a new role as crisis management tools to guide bank recapitalization and help restore confidence. This spurred an intense debate on the models, underlying assumptions, and uses of stress tests. Current stress testing practices, however, are not based on a systematic and comprehensive set of principles but have emerged from trial-and-error and often reflect constraints in human, technical, and data capabilities.
Macroprudential Solvency Stress Testing of the Insurance Sector
Author | : Mr. Andreas A. Jobst,Nobuyasu Sugimoto,Timo Broszeit |
Publsiher | : International Monetary Fund |
Total Pages | : 84 |
Release | : 2014-07-22 |
Genre | : Business & Economics |
ISBN | : 9781498324557 |
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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.