United States: Publication of Financial Sector Assessment Program Documentation: Technical Note on Stress Testing

July 29, 2010

Preview Citation

Format: Chicago

United States: Publication of Financial Sector Assessment Program Documentation: Technical Note on Stress Testing, (USA: International Monetary Fund, 2010) accessed November 21, 2024

Summary

The stress testing analysis in the United States was based on publicly available information and on models that are subject to a considerable degree of uncertainty. The stress tests illustrate important vulnerabilities in the banking sector. It highlights the importance of macrofinancial linkages, and dependencies among the largest institutions. The results illustrate the high sensitivity of Bank Holding Company’s asset quality and capital positions. Market liquidity risks appear to have declined, although financial firms remain vulnerable to funding rollover risk. The life insurance sector is relatively resilient.

Subject: Banking, Contingent liabilities, Credit default swap, Financial institutions, Financial sector policy and analysis, Loans, Money, Options, Public financial management (PFM), Stress testing, Systemic risk

Keywords: BHC asset composition, BHC capital, Capital ratio, Contingent claims analysis stress test, Contingent liabilities, Contingent liabilities, CR, Credit default swap, Financial institution, Financial market, Global, ISCR, Loans, Options, Present value, Put option, Retained earnings, Return on assets, Stress test scenario, Stress testing, Systemic risk, Time horizon

Publication Details

Pages:

115
Volume:

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DOI:

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Issue:

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Series:

Country Report No. 2010/244
Stock No:

1USAEA2010013
ISBN:

9781455206735
ISSN:

1934-7685

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