Guernsey: Financial Sector Assessment Program Update-Technical Note on Stress Testing: Banking and Insurance

International Monetary Fund

No 2011/004, IMF Staff Country Reports from International Monetary Fund

Abstract: Stress testing (ST) was undertaken as part of the Guernsey Financial sector assessment Program (FSAP) Update in order to assess the resilience of the Guernsey financial system to a variety of potential strains. The approach taken was a simulation of the effect of a potential double-dip recession on solvency of Guernsey banks and insurance companies. The STs assess the sensitivity of banks and insurance companies to single-factor shocks to risk types affecting solvency and liquidity position of institutions. The mission recommends that future STs should be risk-based and that macroprudential analysis should be run on a regular basis.

Keywords: ISCR; CR; interest rate; parent bank; asset price risk; mortgage loan; yield curve; risk type; No. bank; liquidity risk; concentration risk analysis; test result; liquidity risk test sample; persistency risk; market risk test; return on equity; Credit risk; Market risk; Stress testing; Operational risk; Yield curve; North America; Global (search for similar items in EconPapers)
Pages: 36
Date: 2011-01-14
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=24545 (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:2011/004

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 ().