Cover IMF Working Papers
Introduction to Applied Stress Testing
Author: Mr. Martin Cihakhttps://orcid.org/0000-0002-3571-9707
Series:
IMF Working Papers
Volume/Issue:
Volume 2007: Issue 059
Language:
English
Publication Date:
01 Mar 2007
DOI:
https://doi.org/10.5089/9781451866230.001
ISBN:
9781451866230
ISSN:
1018-5941
Pages:
74
Keywords:
WP; interest rate; economic value; financial system
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 a useful and increasingly popular, yet sometimes misunderstood, method of analyzing the resilience of financial systems to adverse events. This paper aims to help demystify stress tests, and illustrate their strengths and weaknesses. Using an Excel-based exercise with institution-by-institution data, readers are walked through stress testing for credit risk, interest rate and exchange rate risks, liquidity risk and contagion risk, and are guided in the design of stress testing scenarios. The paper also describes the links between stress testing and other analytical tools, such as financial soundness indicators and supervisory early warning systems. Furthermore, it includes surveys of stress testing practices in central banks and the IMF.
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund