Stress Testing Financial Systems: What to Do When the Governor Calls

By Paul Louis Ceriel Hilbers, Matthew T Jones, Graham L Slack

July 1, 2004

Preview Citation

Format: Chicago

Paul Louis Ceriel Hilbers, Matthew T Jones, and Graham L Slack. Stress Testing Financial Systems: What to Do When the Governor Calls, (USA: International Monetary Fund, 2004) accessed December 26, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

Stress testing is becoming a widely used tool to assess potential vulnerabilities in a financial system. This paper is intended to answer some of the basic questions that may arise as part of the process of stress testing. The paper begins with a discussion of stress testing in a financial system context, highlighting some of the differences between stress tests of systems and of individual portfolios. The paper provides an overview of the process itself, from identifying vulnerabilities, to constructing scenarios, to interpreting the results. The experience of the IMF in conducting stress testing as part of the Financial Sector Assessment Program (FSAP) is also discussed.

Subject: Banking, Financial Sector Assessment Program, Financial sector policy and analysis, Financial soundness indicators, Financial statements, National accounts, Personal income, Public financial management (PFM), Stress testing

Keywords: Bank, Bank balance, C. balance-sheet implementation, Estimation procedure, Financial institution, Financial Sector Assessment Program, Financial soundness indicators, Financial statements, Financial system context, Financial system structure, Foreign currency, Global, Income statements, Insurance company balance sheets, Iterative process, Personal income, Price level, Process, Return on equity, Risk management system, Stress testing, System level, System stress tests, WP

Publication Details

Pages:

38
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2004/127
Stock No:

WPIEA1272004
ISBN:

9781451855012
ISSN:

1018-5941

Notes

See also pamphlet on Stress Testing Financial Systems, published September 2004

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