Japan: Financial Sector Assessment Program-Technical Note-Systemic Risk Analysis and Stress Testing the Financial Sector

International Monetary Fund

No 2017/285, IMF Staff Country Reports from International Monetary Fund

Abstract: This Technical Note discusses the results of stress testing of the financial sector in Japan. The Japanese financial system appears generally resilient to short-term risks, but pockets of vulnerability exist. Overall, banks appear to have sufficient capital and liquidity buffers to cope with a scenario of severe recession owing to disruptions in global trade, and accompanied by a sharp increase in interest rates and risk premiums, and a decline in equity prices. Spillovers within the system also appear to be limited. At the same time, resilience is not equal among all institutions included in the analysis. Some life insurance companies and regional banks may need to strengthen their capital buffers.

Keywords: ISCR; CR; balance sheet; City bank; U.S. dollar; financial system; stress test; cash flow; credit risk; hurdle rate; IMF staff calculation; market share; investment trust; funding shock; market liquidity risk; U.S. dollar-liquidity analysis; market liquidity shock; return on assets; BoJ facilities; Stress testing; Insurance companies; Solvency stress testing; Solvency; Stocks; Global; Asia and Pacific (search for similar items in EconPapers)
Pages: 126
Date: 2017-09-18
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Citations: View citations in EconPapers (1)

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