Belgium: Financial Sector Assessment Program-Technical Note on Systemic Risk Analysis and Stress Testing

International Monetary Fund

No 2023/393, IMF Staff Country Reports from International Monetary Fund

Abstract: This technical note provides an update on the systemic risk analysis and stress testing in Belgium. The Financial Sector Assessment Program (FSAP) banks solvency stress tests show that the Belgian significant institutions are resilient under the adverse scenario while some heterogeneity exists. The FSAP team also conducted a sensitivity analysis where non-term deposits are converted to term deposits owing to the steep surge in interest rates. The results from the liquidity stress tests show that liquidity levels are comfortable for the system but need to be reinforced for some banks. An additional study examining the interplay between solvency and liquidity risks under stress shows that banks are resilient to shocks that will result in forced liquidation of assets. The interconnectedness analyses show that Belgian domestic and cross-border interconnections are relatively modest. The domestic interbank market reflects low levels of contagion risks for Belgian banks; however, there are a few banks that exhibit a high degree of systemic importance within the interbank system. Cross-border analysis reveals Belgian banks’ strong exposures to non-financial sectors.

Keywords: net interest income; risk projection; market interconnectedness Results; H. sensitivity analysis; market interconnectedness flowchart; sensitivity analysis result; regressions output; solvency capital requirement; Stress testing; Insurance companies; Solvency stress testing; Solvency; Mutual funds; Global (search for similar items in EconPapers)
Pages: 116
Date: 2023-12-08
New Economics Papers: this item is included in nep-cis and nep-eur
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=542174 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:imf:imfscr:2023/393

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

Access Statistics for this paper

More papers in IMF Staff Country Reports from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Akshay Modi ().