Euro Area Policies: Financial Sector Assessment Program-Technical Note-Stress Testing the Banking Sector

July 19, 2018

Preview Citation

Format: Chicago

Euro Area Policies: Financial Sector Assessment Program-Technical Note-Stress Testing the Banking Sector, (USA: International Monetary Fund, 2018) accessed December 21, 2024

Summary

The FSAP team undertook a thorough top-down stress testing analysis using end-2017 data. This note covers the methodology and results of the scenario-based solvency tests, the single factor sensitivity tests, and the liquidity tests. The stress test exercise was carried out on a sample of major euro area banks supervised by the Single Supervisory Mechanism (SSM). The analysis is heavily dependent on comprehensive and granular supervisory data on individual banks’ positions shared by the European Central Bank (ECB). While FSAP results are not directly comparable to the 2018 EU-wide stress test results due to differences in scenarios, methodologies, and objectives, they provide an assessment of the system-wide resilience of the euro area banking sector at the current juncture.

Subject: Banking, Credit risk, Financial institutions, Financial regulation and supervision, Financial sector policy and analysis, Liquidity risk, Market risk, Securities, Stress testing

Keywords: Balance sheet, Bank deposit, Banking system, Capital ratio, Central bank, CR, Credit risk, Credit risk, Europe, Financial institution, Global, Government bond, Implied rate, Interest rate, ISCR, Liquidity risk, Liquidity risk, Market risk, Monetary policy, Money market, Real interest rate, Securities, Sensitivity analysis, Stress testing

Publication Details

Pages:

145
Volume:

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DOI:

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Issue:

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Series:

Country Report No. 2018/228
Stock No:

1EUREA2018005
ISBN:

9781484369401
ISSN:

1934-7685

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