IMF Working Papers Volume 2004 Issue 127: Stress Testing Financial Systems: What to Do When the Governor Calls (2004)

Stress Testing Financial Systems: What to Do When the Governor Calls

Author:

Mr. Paul Louis Ceriel Hilbers

Mr. Paul Louis Ceriel Hilbers
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Mr. Matthew T Jones

Mr. Matthew T Jones
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Mr. Graham L Slack

Mr. Graham L Slack
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Series:: IMF Working Papers

Volume/Issue:: Volume 2004: Issue 127

Publication Date:: 01 Jul 2004

DOI:: https://doi.org/10.5089/9781451855012.001

ISBN:: 9781451855012

ISSN:: 1018-5941

Pages:: 38

Keywords:: WP; process; financial institution; bank; foreign currency; iterative process; price level; return on equity; Stress testing; financial soundness indicators; financial system context; financial system structure; bank balance; C. balance-sheet implementation; estimation procedure; income statements; system stress tests; insurance company balance sheets; system level; risk management system; Financial statements; Financial Sector Assessment Program; Personal income; Global

Legal-disclaimer:: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Series:: IMF Working Papers

Volume/Issue:: Volume 2004: Issue 127

Language:: English

Publication Date:: 01 Jul 2004

DOI:: https://doi.org/10.5089/9781451855012.001

ISBN:: 9781451855012

ISSN:: 1018-5941

Pages:: 38

Keywords:: WP; process; financial institution; bank; foreign currency; iterative process; price level; return on equity; Stress testing; financial soundness indicators; financial system context; financial system structure; bank balance; C. balance-sheet implementation; estimation procedure; income statements; system stress tests; insurance company balance sheets; system level; risk management system; Financial statements; Financial Sector Assessment Program; Personal income; Global

Legal-disclaimer:: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

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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 system context, highlighting some of the differences between stress tests of systems and of individual portfolios. The paper provides an overview of the process itself, from identifying vulnerabilities, to constructing scenarios, to interpreting the results. The experience of the IMF in conducting stress testing as part of the Financial Sector Assessment Program (FSAP) is also discussed.

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IMF Working Papers

ISSN:: 1018-5941

Publisher:: International Monetary Fund

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