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Stress Testing
			: Principles, Concepts, and Frameworks

Stress Testing : Principles, Concepts, and Frameworks »

Series: Books

Author(s): Li Lian Ong , and Andreas A. Jobst

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 September 2020

DOI: http://dx.doi.org/10.5089/9781484310717.071

ISBN: 9781484310717

Keywords: Best practice principles, credit risk, financial crisis, FSAP, information gaps, insurance, liquidity risk, sovereign risk, spillovers, stress testing

The objective of this book is to present IMF staff's further analyses and applications of these tools. Stress test exercises must be undertaken within a coherent and comprehensive framework; they must take into acc...

Essays on the Global Financial Crisis

Essays on the Global Financial Crisis »

Series: Miscellaneous Publication (Other)

Author(s): Heiko Hesse

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 07 December 2016

DOI: http://dx.doi.org/10.5089/9781475544121.073

ISBN: 9781475544121

Keywords: Global Financial Crisis 2008-2009, financial crisis, subprime, spillovers, emerging markets, Global Financial Crisis, contagion, sovereign wealth funds, stress testing, bank restructuring

The Global Financial Crisis has been a watershed event not only for many advanced economies but also emerging markets around the world. This book brings together research and policy work over the last nine years fr...

Singapore

Singapore »

Source: Singapore : Detailed Assessment of Observance-Assessment of Observance of the CPSS-IOSCO Principles for Financial Market Infrastructures

Volume/Issue: 2013/345

Series: IMF Staff Country Reports

Author(s): International Monetary Fund. Monetary and Capital Markets Department

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 December 2013

ISBN: 9781475565591

Keywords: clearing members, collateral, stress testing, payments, counterparty

This paper discusses key findings of the Detailed Assessment of Observance of the Committee on Payment and Settlement Systems-International Organization of Securities Commissions Principles for Financial Market Inf...

Cyprus

Cyprus »

Source: Cyprus : Financial Sector Assessment Program: Financial System Stability Assessment

Volume/Issue: 2009/308

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 November 2009

ISBN: 9781451809985

Keywords: credit, banking, prices, stress testing, counterparty

This paper discusses key findings of the Financial System Stability Assessment on Cyprus. The assessment reveals that the banking system of Cyprus has managed to avoid the worst effects of the global financial cris...

Stress Testing in Sub-Saharan Africa: Practices, Communications, and Capacity Development

Stress Testing in Sub-Saharan Africa: Practices, Communications, and Capacity Development »

Source: Stress Testing in Sub-Saharan Africa : Practices, Communications, and Capacity Development

Volume/Issue: 2020/7

Series: Departmental Papers / Policy Papers

Author(s): Mindaugas Leika , Hector Perez-Saiz , Olga Ilinichna Stankova , and Torsten Wezel

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 May 2020

ISBN: 9781513532912

Keywords: Banking, Stress testing, Sub-Saharan Africa, Banking; Capacity Development;Stress testing;Sub-Saharan Africa

The paper finds that supervisory stress tests are conducted in more than half of sub-Saharan African countries, particularly in western and southern Africa, and that the number of individual stress tests has grown...

Rwanda

Rwanda »

Source: Rwanda : Financial System Stability Assessment

Volume/Issue: 2011/244

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 August 2011

ISBN: 9781462320370

Keywords: banking, credit, capital adequacy, banking supervision, stress testing

In this study, the processes involved in the financial stability of Rwanda after the global crisis are imparted. High growth and major risks included in macroeconomic stability are analyzed. In the case of the bank...

Stress Testing and Calibration of Macroprudential Policy Tools*

Stress Testing and Calibration of Macroprudential Policy Tools* »

Source: Stress Testing and Calibration of Macroprudential Policy Tools

Volume/Issue: 2020/165

Series: IMF Working Papers

Author(s): Lucyna Gornicka , and Laura Valderrama

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 14 August 2020

ISBN: 9781513554471

Keywords: stress testing, systemic risk, mortgage risk, calibration, simulation, macroprudential policy

We present a semi-structural model of default risk, which is a function of loan and borrower characteristics, economic conditions, and the regulatory environment. We use this model to simulate bank credit losses fo...

Oman

Oman »

Source: Oman : Banking Sector Resilience

Volume/Issue: 2010/61

Series: IMF Working Papers

Author(s): Ananthakrishnan Prasad , and Pierluigi Bologna

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2010

ISBN: 9781451982060

Keywords: Banking System, Risks, Stress Test, Gulf Cooperation Council Countries, banking, capital adequacy, capital adequacy ratio,

This note assesses the impact of the global financial risks on Oman's banking system and highlights the remaining risks. It concludes that the liquidity and prudential measures introduced by the authorities mitigat...

Stressing to Breaking Point

Stressing to Breaking Point »

Source: Stressing to Breaking Point : Interpreting Stress Test Results

Volume/Issue: 2008/148

Series: IMF Working Papers

Author(s): Rupert Worrell

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2008

ISBN: 9781451870060

Keywords: Stress test, financial risk assessment, capital adequacy, capital adequacy ratio, banking, banking system, capital inflow,

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 insolve...

The Nature of Islamic Banking and Solvency Stress Testing―Conceptual Considerations

The Nature of Islamic Banking and Solvency Stress Testing―Conceptual Considerations »

Source: The Nature of Islamic Banking and Solvency Stress Testing - Conceptual Considerations

Volume/Issue: 2020/156

Series: IMF Working Papers

Author(s): Andreas A. Jobst , and Juan Sole

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 07 August 2020

ISBN: 9781513550886

Keywords: stress testing, Islamic banking, Islamic finance principles, capital adequacy, shari’ah compliance.

This paper provides a conceptual overview of key aspects of the design and implementation of solvency stress testing of Islamic banks. Based on existing regulatory standards and prudential practice, the paper expla...