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Macroprudential Solvency Stress Testing of the Insurance Sector
Jobst, Andreas A.; Sugimoto, Nobuyasu; Broszeit, Timo - International Monetary Fund (IMF) - 2014
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 … consistent implementation of such exercises. The paper also offers recommendations on improving the current insurance stress …
Persistent link: https://www.econbiz.de/10011142085
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Introduction to Applied Stress Testing
Cihák, Martin - International Monetary Fund (IMF) - 2007
credit risk, interest rate and exchange rate risks, liquidity risk and contagion risk, and are guided in the design of stress …
Persistent link: https://www.econbiz.de/10005248151
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Stress Testing Financial Systems; What to Do When the Governor Calls
Hilbers, Paul Louis Ceriel; Jones, Matthew T.; Slack, … - International Monetary Fund (IMF) - 2004
Stress testing is becoming a widely used tool to assess potential vulnerabilities in a financial system. This paper is intended to answer some of the basic questions that may arise as part of the process of stress testing. The paper begins with a discussion of stress testing in a financial...
Persistent link: https://www.econbiz.de/10005826600
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Stress Testing At the IMF
Swinburne, Mark; Stolz, Stéphanie Marie; Moretti, Marina - International Monetary Fund (IMF) - 2008
For almost a decade, the IMF has been using stress tests to identify vulnerabilities across institutions that could undermine the stability of a country's financial system. This working paper focuses on the IMF's experience with stress testing in the Financial Sector Assessment Program (FSAP)....
Persistent link: https://www.econbiz.de/10005599429
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Macroprudential Policies for a Resource Rich Economy The Case of Mongolia
Maino, Rodolfo; Imam, Patrick A.; Ojima, Yasuhisa - International Monetary Fund (IMF) - 2013
This paper explores the extent to which macroprudential tools can be used to manage banking sector risks in Mongolia, a … commodity producing country exposed to both procyclical and cross-sectional financial sector risks. Loose fiscal policy, rising … markets, posing significant risks to financial stability if left unchecked. Rising interconnectedness, potential increase in …
Persistent link: https://www.econbiz.de/10011123884
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How Did Markets React to Stress Tests?
Candelon, Bertrand; Sy, Amadou N. R. - International Monetary Fund (IMF) - 2015
We use event study methods to compare the market reaction to U.S. and EU-wide stress tests performed from 2009 to 2013. Typically, stress tests have a positive impact on stressed banks’ returns. While the 2009 U.S. stress test had a large positive outcome, the impact of subsequent U.S....
Persistent link: https://www.econbiz.de/10011242203
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Of Runes and Sagas; Perspectiveson Liquidity Stress Testing Using An Iceland Example
Cihák, Martin; Ong, Li L. - International Monetary Fund (IMF) - 2010
tests of the various risks would have provided a clearer picture of existing vulnerablities. We show that, ultimately …
Persistent link: https://www.econbiz.de/10008560436
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Stress Testing of Financial Systems; An Overview of Issues, Methodologies, and FSAP Experiences
Peria, Maria Soledad Martinez; Majnoni, Giovanni; … - International Monetary Fund (IMF) - 2001
testing, the paper gives an overview of some of the conceptual issues involved in evaluating risks at the aggregated level of …
Persistent link: https://www.econbiz.de/10005248173
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Portfolio Credit Risk and Macroeconomic Shocks; Applications to Stress Testing Under Data-Restricted Environments
Basurto, Miguel A. Segoviano - International Monetary Fund (IMF) - 2006
Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified parametric distributions or simply ignore the effects of macroeconomic shocks on...
Persistent link: https://www.econbiz.de/10005263920
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Default, Credit Growth, and Asset Prices
Goodhart, C. A. E.; Basurto, Miguel A. Segoviano; … - International Monetary Fund (IMF) - 2006
This paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of Organization for Economic Cooperation and Development and middle-income countries as a proxy for the fragility of their banking systems. Based on theory and stylized facts, the paper...
Persistent link: https://www.econbiz.de/10005264113