Front Matter Page
Monetary and Capital Markets Department
Contents
Abstract
I. Introduction
II. IMF Stress Testing in Context
III. A Framework for Bank Solvency Stress Testing
A. Scope
Approach
Coverage
Data
B. Scenario Design
Risk horizon
Stress scenarios
Risk factors
Factors that management control
C. Capital Standards
D. Method
Macroeconomic and satellite modelling
Stress test models
E. Communication
Presentation of outputs
Publication
IV. Concluding Remarks
References
Tables
1. S-25 and Other G-20 Countries: Status of FSAPs since FY 2010
2. A Framework for Macroprudential Bank Solvency Stress Testing
3. Basel III Transition Schedule
4. Scorecard on Data and IMF Stress Test Models
5. Example of Stress Test Matrix (STeM) for Bank Solvency Risk: Spain FSAP Update
Figures
1. Solvency Stress Testing Applications
2. Example of IMF Stress Testing Exercise: U.K. FSAP Update
3. Example of Macro Scenarios for Stress Testing: U.K. FSAP Update
4. General Representation of Satellite Modeling in Bank Solvency Stress Testing
5. Example of Satellite Model Estimations for Bank Solvency Stress Testing: U.K. FSAP Update
6. Example of Application of Satellite Model Outputs to Top-down Bank Solvency Stress Test Models: U.K. FSAP Update
7. Stress Test Models Developed by IMF Staff
8. Key Conceptual Differences in Loss Measurements between the Accounting-based and Market Price-based Approaches
9. Example of Bottom-up Bank Solvency Stress Test Output Template Provided to Banks: U.K. FSAP Update
10. Example of Bottom-up Bank Solvency Stress Test Output Template Provided to Authorities: U.K. FSAP Update
11. Example of Bottom-up Bank Solvency Stress Test Summary Template Provided to Authorities: U.K. FSAP Update
Appendices
I. FSAP Solvency Stress Tests since FY2010: STeM for S-25 and Other G-20 Countries
II. Example of Summary of Key Assumptions Applied in Solvency Stress Testing Exercise: U.K. FSAP Update
III. Example of Comparison Table on Relevant Core Tier 1 Capital Definitions: U.K. FSAP Update