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

International Monetary Fund

No 2024/111, IMF Staff Country Reports from International Monetary Fund

Abstract: This Technical Note discusses Systemic Risk Analysis and Stress Testing for the Japan Financial Sector Assessment Program (FSAP). The Japanese financial system stands at a critical juncture amid an evolving macroeconomic environment, facing, in particular, market risk and foreign currency (FX) liquidity risk. The FSAP assessed the financial sector’s resilience with a comprehensive scenario-based systemic risk analysis. The systemic risk analysis comprised a comprehensive set of stress testing exercises covering the financial and nonfinancial sectors. The FSAP’s scenario-based risk analysis suggests that the financial system is broadly resilient to a range of macrofinancial shocks, though there are some areas of susceptibility. The challenging risk environment underscores the need to strengthen the Japanese authorities’ systemic risk monitoring and analysis. The authorities should also continue to collect information on banks’ securities holdings including interest rate hedging and FX positions, and to carefully monitor risks from sizable exposures of financial institutions to domestic and foreign securities and banks’ FX liquidity needs.

Keywords: stress test result; IMF staff calculation; sensitivity analysis; bank liquidity; balance sheet; Stress testing; Insurance companies; Solvency stress testing; Mutual funds; Loans; Global (search for similar items in EconPapers)
Pages: 190
Date: 2024-05-13
New Economics Papers: this item is included in nep-fdg
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=548795 (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:2024/111

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 ().