Portugal: Financial Sector Assessment Program: Technical Note: Stress Testing

International Monetary Fund

No 2007/034, IMF Staff Country Reports from International Monetary Fund

Abstract: This technical note explains stress testing for Portugal’s financial sector. A core part of the banking stress tests was the bottom-up exercise implemented by individual institutions. The bottom-up stress tests focus only on the impact of expected losses on indicators of profitability and capitalization. The results are presented in terms of the actual solvency levels before and after the shock, allowing for an assessment of the capacity of banks to withstand the shocks.

Keywords: ISCR; CR; capital adequacy ratio; interest rate risk; interest income; Equity price risk; exchange rate risk; foreign exchange; market share; nonlife CAT risk; net interest income; profit and loss; risk absorption properties; life lapse risk; price shock; market financing; life lapse risk nonlife premium; underwriting risk; volatility risk; Stress testing; Income; Market risk; Credit risk; Capital adequacy requirements; Global (search for similar items in EconPapers)
Pages: 49
Date: 2007-01-30
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