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A Framework for Macroprudential Bank Solvency Stress Testing :, Application to S-25 and Other G-20 Country FSAPs, Andreas Jobst, Li Ong, Christian Schmieder

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
Table Of Contents
Cover; Abstract; Contents; I. Introduction; II. IMF Stress Testing in Context; Tables; 1. S-25 and Other G-20 Countries: Status of FSAPs since FY 2010; Figures; 1. Solvency Stress Testing Applications; III. A Framework for Bank Solvency Stress Testing; A. Scope; Approach; 2. A Framework for Macroprudential Bank Solvency Stress Testing; Coverage; Data; 2. Example of IMF Stress Testing Exercise: U.K. FSAP Update; B. Scenario Design; Risk horizon; Stress scenarios; 3. Example of Macro Scenarios for Stress Testing: U.K. FSAP Update; Risk factors; Factors that management control
Literary Form
non fiction
Description based upon print version of record
Physical Description
1 online resource (56 p.)
Specific Material Designation
Form Of Item

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