Stressing to Breaking Point: Interpreting Stress Test Results

June 1, 2008

Preview Citation

Format: Chicago

Rupert D Worrell. Stressing to Breaking Point: Interpreting Stress Test Results, (USA: International Monetary Fund, 2008) accessed November 21, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper illustrates how stress tests of banking systems may be designed to evaluate banks' reaction to shocks of increasing intensity, up to the point where regulatory norms are breached, or banks become insolvent. This approach offers useful insight and guidance for regulatory policy and intervention, using existing methodology and data. The illustrations presented in this paper are a small sample of the wide variety of shocks, scenarios, and assumptions to which this approach may be applied.

Subject: Banking, Capital adequacy requirements, Commercial banks, Credit, Nonperforming loans

Keywords: Bank, Banking system, Exchange rate, Interest rate, Loan, WP

Publication Details

Pages:

18
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2008/148
Stock No:

WPIEA2008148
ISBN:

9781451870060
ISSN:

1018-5941

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