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Jamaica: Technical Assistance Report-Systemic Risk Monitoring
Author:
International Monetary Fund. Monetary and Capital Markets Department
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Series:
Technical Assistance Reports
Volume/Issue:
Volume 2024: Issue 090
Language:
English
Publication Date:
01 Nov 2024
DOI:
https://doi.org/10.5089/9798400290442.019
ISBN:
9798400290442
ISSN:
3005-4575
Pages:
27
Keywords:
Financial stability; financial stability report; systemic risk; stress testing; credit risk modeling; Jamaica.; BOJ data management system; BOJ stress; BOJ website; BOJ credit risk stress tests; market risk analysis; BOJ absorption ratio; Financial sector stability; Credit risk; Market risk; Financial sector risk; Caribbean
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The technical assistance mission aimed to build capacity to enhance financial stability analyses and assessments at the Bank of Jamaica (BOJ). It reviewed the latest available Financial Stability Report (FSR) and the analytical toolkit. In particular, the mission assisted the BOJ in estimating sectoral credit risk models to enhance the forward-looking element of its financial stability assessment. The mission explained the Bayesian Model Averaging (BMA) approach and provided initial estimates for five sectoral credit risk models, including mortgages to households, personal loans, corporate loans for tourism, corporate loans for construction, and other corporate loans. Additionally, the mission covered topics such as financial stability indicators, credit risk, stress testing, insurance and pension balance sheets, climate risk, interconnectedness, and contagion risk. Several recommendations were provided, covering the FSR, methodological work on the financial stability analytical toolkit, internal and external communication, and data sources and their management. The mission concluded that financial stability should be regarded as equally important as monetary policy and supervision. It emphasized the need for a detailed production plan for the FSR, a comprehensive communication strategy, and the organization of all data in a single data warehouse to support the financial stability analytical toolkit. The mission also highlighted the importance of improving non-bank analyses and regularly reporting on emerging risks, such as climate and cyber risks.
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Cover Technical Assistance Reports
Technical Assistance Reports
ISSN:
3005-4575
Publisher:
International Monetary Fund