Macroprudential Solvency Stress Testing of the Insurance Sector

Andreas Jobst (), Nobuyasu Sugimoto and Timo Broszeit

No 2014/133, IMF Working Papers from International Monetary Fund

Abstract: 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.

Keywords: WP; capital market; solvency regime; balance sheet; credit risk; cash flow; insurance; macroprudential surveillance; financial stability analysis; stress testing; cost of capital; fixed income; liquidity risk; insurance risk; interest rate shock; private equity; asset risk; risk measurement; Insurance companies; Solvency; Financial Sector Assessment Program; Global; Africa (search for similar items in EconPapers)
Pages: 84
Date: 2014-07-22
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Citations: View citations in EconPapers (7)

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