Stress Testing of Financial Systems: An Overview of Issues, Methodologies, and FSAP Experiences

Maria Martinez Peria, Giovanni Majnoni, Matthew Jones and Winfrid Blaschke

No 2001/088, IMF Working Papers from International Monetary Fund

Abstract: The paper has three objectives. After a general introduction to some of the concepts and basic techniques of stress testing, the paper gives an overview of some of the conceptual issues involved in evaluating risks at the aggregated level of financial systems. Second, this study provides a basic framework and toolkit for conducting stress tests. Finally, the paper reviews some of the stress-testing analyses conducted in the context of the Financial Sector Assessment Program (FSAP) and suggests simplified approaches to deal with situations where the quantity and quality of the data is less than ideal.

Keywords: WP; foreign exchange; time horizon; Stress testing; interest rate risk; credit risk; foreign exchange risk; liquidity risk; risk exposure; management strategy; stress scenario; asset liquidity risk; equity price risk; bank assets; net position; capital ratio; bank borrower; flight to quality; Market risk; Exchange rate risk; Global; Asia and Pacific (search for similar items in EconPapers)
Pages: 56
Date: 2001-06-01
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Citations: View citations in EconPapers (109)

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Persistent link: https://EconPapers.repec.org/RePEc:imf:imfwpa:2001/088

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