United States: Publication of Financial Sector Assessment Program Documentation: Technical Note on Stress Testing

International Monetary Fund

No 2010/244, IMF Staff Country Reports from International Monetary Fund

Abstract: The stress testing analysis in the United States was based on publicly available information and on models that are subject to a considerable degree of uncertainty. The stress tests illustrate important vulnerabilities in the banking sector. It highlights the importance of macrofinancial linkages, and dependencies among the largest institutions. The results illustrate the high sensitivity of Bank Holding Company’s asset quality and capital positions. Market liquidity risks appear to have declined, although financial firms remain vulnerable to funding rollover risk. The life insurance sector is relatively resilient.

Keywords: ISCR; CR; financial institution; financial market; put option; retained earnings; contingent liabilities; time horizon; capital ratio; present value; Contingent liabilities; Systemic risk; Stress testing; Loans; Credit default swap; Global; BHC capital; contingent claims analysis stress test; BHC asset composition; return on assets; stress test scenario; Options (search for similar items in EconPapers)
Pages: 115
Date: 2010-07-29
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Citations: View citations in EconPapers (7)

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