Stress Testing of Financial Systems: An Overview of Issues, Methodologies, and FSAP Experiences

By Maria Soledad Martinez Peria, Giovanni Majnoni, Matthew T Jones, Winfrid Blaschke

June 1, 2001

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Format: Chicago

Maria Soledad Martinez Peria, Giovanni Majnoni, Matthew T Jones, and Winfrid Blaschke. Stress Testing of Financial Systems: An Overview of Issues, Methodologies, and FSAP Experiences, (USA: International Monetary Fund, 2001) 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

The paper has three objectives. After a general introduction to some of the concepts and basic techniques of stress testing, the paper gives an overview of some of the conceptual issues involved in evaluating risks at the aggregated level of financial systems. Second, this study provides a basic framework and toolkit for conducting stress tests. Finally, the paper reviews some of the stress-testing analyses conducted in the context of the Financial Sector Assessment Program (FSAP) and suggests simplified approaches to deal with situations where the quantity and quality of the data is less than ideal.

Subject: Banking, Credit risk, Exchange rate risk, Financial regulation and supervision, Financial sector policy and analysis, Foreign exchange, Market risk, Stress testing

Keywords: Asia and Pacific, Asset liquidity risk, Bank assets, Bank borrower, Capital ratio, Credit risk, Equity price risk, Exchange rate risk, Flight to quality, Foreign exchange, Foreign exchange risk, Global, Interest rate risk, Liquidity risk, Management strategy, Market risk, Net position, Risk exposure, Stress scenario, Stress testing, Time horizon, WP

Publication Details

Pages:

56
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2001/088
Stock No:

WPIEA0882001
ISBN:

9781451851168
ISSN:

1018-5941

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