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Stressing to Breaking Point: Interpreting Stress Test Results
Author:
Mr. Rupert D Worrell
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Series:
IMF Working Papers
Volume/Issue:
Volume 2008: Issue 148
Language:
English
Publication Date:
01 Jun 2008
DOI:
https://doi.org/10.5089/9781451870060.001
ISBN:
9781451870060
ISSN:
1018-5941
Pages:
18
Keywords:
WP; bank; exchange rate; banking system; loan; interest rate
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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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 insolvent. This approach offers useful insight and guidance for regulatory policy and intervention, using existing methodology and data. The illustrations presented in this paper are a small sample of the wide variety of shocks, scenarios, and assumptions to which this approach may be applied.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund