We disentangle U.S. credit spreads' evolution into two distinct parts resulting from market risk and default risk influences. We consider credit spreads (versus Treasury yields) as a credit risk proxy and S&P500 stock index as a market/systematic risk proxy. Such data allow for achieving a...

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)....

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...