Macroprudential Liquidity Stress Testing In Fsaps For Systemically Important Financial Systems PDF Download
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| Author | : Mr.Andreas A. Jobst |
| Publisher | : International Monetary Fund |
| Total Pages | : 56 |
| Release | : 2017-05-01 |
| Genre | : Business & Economics |
| ISBN | : 147559724X |
Download Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems Book in PDF, ePub and Kindle
Bank liquidity stress testing, which has become de rigueur following the costly lessons of the global financial crisis, remains underdeveloped compared to solvency stress testing. The ability to adequately identify, model and assess the impact of liquidity shocks, which are infrequent but can have a severe impact on affected banks and financial systems, is complicated not only by data limitations but also by interactions among multiple factors. This paper provides a conceptual overview of liquidity stress testing approaches for banks and discusses their implementation by IMF staff in the Financial Sector Assessment Program (FSAP) for countries with systemically important financial sectors over the last six years.
| Author | : Mr.Andreas A. Jobst |
| Publisher | : International Monetary Fund |
| Total Pages | : 55 |
| Release | : 2013-03-13 |
| Genre | : Business & Economics |
| ISBN | : 1616355077 |
Download A Framework for Macroprudential Bank Solvency Stress Testing Book in PDF, ePub and Kindle
The global financial crisis has placed the spotlight squarely on bank stress tests. Stress tests conducted in the lead-up to the crisis, including those by IMF staff, were not always able to identify the right risks and vulnerabilities. Since then, IMF staff has developed more robust stress testing methods and models and adopted a more coherent and consistent approach. This paper articulates the solvency stress testing framework that is being applied in the IMF’s surveillance of member countries’ banking systems, and discusses examples of its actual implementation in FSAPs to 18 countries which are in the group comprising the 25 most systemically important financial systems (“S-25”) plus other G-20 countries. In doing so, the paper also offers useful guidance for readers seeking to develop their own stress testing frameworks and country authorities preparing for FSAPs. A detailed Stress Test Matrix (STeM) comparing the stress test parameters applie in each of these major country FSAPs is provided, together with our stress test output templates.
| Author | : Mr.Tobias Adrian |
| Publisher | : International Monetary Fund |
| Total Pages | : 73 |
| Release | : 2020-02-05 |
| Genre | : Business & Economics |
| ISBN | : 1513520741 |
Download Stress Testing at the IMF Book in PDF, ePub and Kindle
This paper explains specifics of stress testing at the IMF. After a brief section on the evolution of stress tests at the IMF, the paper presents the key steps of an IMF staff stress test. They are followed by a discussion on how IMF staff uses stress tests results for policy advice. The paper concludes by identifying remaining challenges to make stress tests more useful for the monitoring of financial stability and an overview of IMF staff work program in that direction. Stress tests help assess the resilience of financial systems in IMF member countries and underpin policy advice to preserve or restore financial stability. This assessment and advice are mainly provided through the Financial Sector Assessment Program (FSAP). IMF staff also provide technical assistance in stress testing to many its member countries. An IMF macroprudential stress test is a methodology to assess financial vulnerabilities that can trigger systemic risk and the need of systemwide mitigating measures. The definition of systemic risk as used by the IMF is relevant to understanding the role of its stress tests as tools for financial surveillance and the IMF’s current work program. IMF stress tests primarily apply to depository intermediaries, and, systemically important banks.
| Author | : Mr.Andreas A. Jobst |
| Publisher | : International Monetary Fund |
| Total Pages | : 84 |
| Release | : 2014-07-22 |
| Genre | : Business & Economics |
| ISBN | : 149832455X |
Download Macroprudential Solvency Stress Testing of the Insurance Sector Book in PDF, ePub and Kindle
Over the last decade, stress testing has become a central aspect of the Fund’s bilateral and multilateral surveillance work. Recently, more emphasis has also been placed on the role of insurance for financial stability analysis. This paper reviews the current state of system-wide solvency stress tests for insurance based on a comparative review of national practices and the experiences from Fund’s FSAP program with the aim of providing practical guidelines for the coherent and consistent implementation of such exercises. The paper also offers recommendations on improving the current insurance stress testing approaches and presentation of results.
| Author | : Ron Anderson |
| Publisher | : International Monetary Fund |
| Total Pages | : 79 |
| Release | : 2018-09-11 |
| Genre | : Business & Economics |
| ISBN | : 1484376382 |
Download Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks Book in PDF, ePub and Kindle
Macroprudential stress testing (MaPST) is becoming firmly embedded in the post-crisis policy-frameworks of financial-sectors around the world. MaPSTs can offer quantitative, forward-looking assessments of the resilience of financial systems as a whole, to particularly adverse shocks. Therefore, they are well suited to support the surveillance of macrofinancial vulnerabilities and to inform the use of macroprudential policy-instruments. This report summarizes the findings of a joint-research effort by MCM and the Systemic-Risk-Centre, which aimed at (i) presenting state-of-the-art approaches on MaPST, including modeling and implementation-challenges; (ii) providing a roadmap for future-research, and; (iii) discussing the potential uses of MaPST to support policy.
| Author | : Mr.Matthew T Jones |
| Publisher | : International Monetary Fund |
| Total Pages | : 18 |
| Release | : 2004-09-27 |
| Genre | : Business & Economics |
| ISBN | : 9781589064027 |
Download Stress Testing Financial Systems Book in PDF, ePub and Kindle
Stress testing is becoming a widely used tool to assess potential vulnerabilities in a financial system. This booklet is intended to answer some of the basic questions that may arise as part of the process of stress testing. The pamphlet 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 booklet 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.
| Author | : Ms.Li L. Ong |
| Publisher | : International Monetary Fund |
| Total Pages | : 64 |
| Release | : 2013-08-09 |
| Genre | : Business & Economics |
| ISBN | : 1475527063 |
Download Credibility and Crisis Stress Testing Book in PDF, ePub and Kindle
Credibility is the bedrock of any crisis stress test. The use of stress tests to manage systemic risk was introduced by the U.S. authorities in 2009 in the form of the Supervisory Capital Assessment Program. Since then, supervisory authorities in other jurisdictions have also conducted similar exercises. In some of those cases, the design and implementation of certainelements of the framework have been criticized for their lack of credibility. This paper proposes a set of guidelines for constructing an effective crisis stress test. It combines financial markets impact studies of previous exercises with relevant case study information gleaned from those experiences to identify the key elements and to formulate their appropriate design. Pertinent concepts, issues and nuances particular to crisis stress testing are also discussed. The findings may be useful for country authorities seeking to include stress tests in their crisis management arsenal, as well as for the design of crisis programs.
| Author | : Mr.Paul Louis Ceriel Hilbers |
| Publisher | : International Monetary Fund |
| Total Pages | : 39 |
| Release | : 2004-07-01 |
| Genre | : Business & Economics |
| ISBN | : 145185501X |
Download Stress Testing Financial Systems Book in PDF, ePub and Kindle
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.
| Author | : Andreas Jobst |
| Publisher | : International Monetary Fund |
| Total Pages | : 70 |
| Release | : 2012-08-01 |
| Genre | : Business & Economics |
| ISBN | : 1475505590 |
Download Measuring Systemic Risk-Adjusted Liquidity (SRL) Book in PDF, ePub and Kindle
Little progress has been made so far in addressing—in a comprehensive way—the externalities caused by impact of the interconnectedness within institutions and markets on funding and market liquidity risk within financial systems. The Systemic Risk-adjusted Liquidity (SRL) model combines option pricing with market information and balance sheet data to generate a probabilistic measure of the frequency and severity of multiple entities experiencing a joint liquidity event. It links a firm’s maturity mismatch between assets and liabilities impacting the stability of its funding with those characteristics of other firms, subject to individual changes in risk profiles and common changes in market conditions. This approach can then be used (i) to quantify an individual institution’s time-varying contribution to system-wide liquidity shortfalls and (ii) to price liquidity risk within a macroprudential framework that, if used to motivate a capital charge or insurance premia, provides incentives for liquidity managers to internalize the systemic risk of their decisions. The model can also accommodate a stress testing approach for institution-specific and/or general funding shocks that generate estimates of systemic liquidity risk (and associated charges) under adverse scenarios.
| Author | : International Monetary Fund. Monetary and Capital Markets Department |
| Publisher | : International Monetary Fund |
| Total Pages | : 65 |
| Release | : 2019-07-15 |
| Genre | : Business & Economics |
| ISBN | : 1498325807 |
Download Singapore Book in PDF, ePub and Kindle
This Financial System Stability Assessment paper on Singapore highlights the attractiveness of Singapore as a financial center is underpinned by strong economic fundamentals, sound economic policies, and a sophisticated financial oversight framework. The financial system is exposed to global and regional macrofinancial shocks through significant trade and financial channels but appears resilient even under adverse scenarios. However, banks’ US dollar liquidity is vulnerable to stress conditions. Fintech developments so far have focused on partnerships with existing financial institutions and do not appear to contribute significantly to systemic risk. Singapore authorities should continue to enhance its strong oversight of the financial system. Strengthening the framework for resolution and safety nets, namely by devoting more resources to the Monetary Authority of Singapore (MAS)’ Resolution Unit; and enhancing the oversight of MAS Electronic Payments System by ensuring more staffing resources are two other important areas for action.
