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Stress Testing Financial Systems: What to Do When the Governor Calls
Author: Mr. Paul Louis Ceriel Hilbers, Mr. Matthew T Jones, and Mr. Graham L Slack
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.
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund