A Guide To Imf Stress Testing Methods And Models

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A Guide to IMF Stress Testing

Ms.Li L Ong
A Guide to IMF Stress Testing Book PDF

Author : Ms.Li L Ong
Publisher : International Monetary Fund
Page : 610 pages
File Size : 45,7 Mb
Release : 2014-12-23
Category : Business & Economics
ISBN : 9781484368589

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A Guide to IMF Stress Testing by Ms.Li L Ong Pdf

The IMF has had extensive involvement in the stress testing of financial systems in its member countries. This book presents the methods and models that have been developed by IMF staff over the years and that can be applied to the gamut of financial systems. An added resource for readers is the companion CD-Rom, which makes available the toolkit with some of the models presented in the book (also located at elibrary.imf.org/page/stress-test-toolkit).

Stress Testing at the IMF

Mr.Tobias Adrian,Mr.James Morsink,MissLiliana B Schumacher
Stress Testing at the IMF Book PDF

Author : Mr.Tobias Adrian,Mr.James Morsink,MissLiliana B Schumacher
Publisher : International Monetary Fund
Page : 73 pages
File Size : 54,7 Mb
Release : 2020-02-05
Category : Business & Economics
ISBN : 9781513520742

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Stress Testing at the IMF by Mr.Tobias Adrian,Mr.James Morsink,MissLiliana B Schumacher Pdf

This paper explains specifics of stress testing at the IMF. After a brief section on the evolution of stress tests at the IMF, the paper presents the key steps of an IMF staff stress test. They are followed by a discussion on how IMF staff uses stress tests results for policy advice. The paper concludes by identifying remaining challenges to make stress tests more useful for the monitoring of financial stability and an overview of IMF staff work program in that direction. Stress tests help assess the resilience of financial systems in IMF member countries and underpin policy advice to preserve or restore financial stability. This assessment and advice are mainly provided through the Financial Sector Assessment Program (FSAP). IMF staff also provide technical assistance in stress testing to many its member countries. An IMF macroprudential stress test is a methodology to assess financial vulnerabilities that can trigger systemic risk and the need of systemwide mitigating measures. The definition of systemic risk as used by the IMF is relevant to understanding the role of its stress tests as tools for financial surveillance and the IMF’s current work program. IMF stress tests primarily apply to depository intermediaries, and, systemically important banks.

Stress Testing Financial Systems

Mr.Matthew T Jones,Mr.Paul Louis Ceriel Hilbers
Stress Testing Financial Systems Book PDF

Author : Mr.Matthew T Jones,Mr.Paul Louis Ceriel Hilbers
Publisher : International Monetary Fund
Page : 18 pages
File Size : 52,7 Mb
Release : 2004-09-27
Category : Business & Economics
ISBN : 158906402X

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Stress Testing Financial Systems by Mr.Matthew T Jones,Mr.Paul Louis Ceriel Hilbers Pdf

Stress testing is becoming a widely used tool to assess potential vulnerabilities in a financial system. This booklet is intended to answer some of the basic questions that may arise as part of the process of stress testing. The pamphlet 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 booklet 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.

Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks

Ron Anderson,Jon Danielsson,Chikako Baba,Mr.Udaibir S Das,Mr.Heedon Kang,Miguel A. Segoviano Basurto
Macroprudential Stress Tests and Policies Searching for Robust and Implementable Frameworks Book PDF

Author : Ron Anderson,Jon Danielsson,Chikako Baba,Mr.Udaibir S Das,Mr.Heedon Kang,Miguel A. Segoviano Basurto
Publisher : International Monetary Fund
Page : 79 pages
File Size : 49,7 Mb
Release : 2018-09-11
Category : Business & Economics
ISBN : 9781484376386

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Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks by Ron Anderson,Jon Danielsson,Chikako Baba,Mr.Udaibir S Das,Mr.Heedon Kang,Miguel A. Segoviano Basurto Pdf

Macroprudential stress testing (MaPST) is becoming firmly embedded in the post-crisis policy-frameworks of financial-sectors around the world. MaPSTs can offer quantitative, forward-looking assessments of the resilience of financial systems as a whole, to particularly adverse shocks. Therefore, they are well suited to support the surveillance of macrofinancial vulnerabilities and to inform the use of macroprudential policy-instruments. This report summarizes the findings of a joint-research effort by MCM and the Systemic-Risk-Centre, which aimed at (i) presenting state-of-the-art approaches on MaPST, including modeling and implementation-challenges; (ii) providing a roadmap for future-research, and; (iii) discussing the potential uses of MaPST to support policy.

Credibility and Crisis Stress Testing

Ms.Li L. Ong,Ceyla Pazarbasioglu
Credibility and Crisis Stress Testing Book PDF

Author : Ms.Li L. Ong,Ceyla Pazarbasioglu
Publisher : International Monetary Fund
Page : 64 pages
File Size : 48,9 Mb
Release : 2013-08-09
Category : Business & Economics
ISBN : 9781475527063

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Credibility and Crisis Stress Testing by Ms.Li L. Ong,Ceyla Pazarbasioglu Pdf

Credibility is the bedrock of any crisis stress test. The use of stress tests to manage systemic risk was introduced by the U.S. authorities in 2009 in the form of the Supervisory Capital Assessment Program. Since then, supervisory authorities in other jurisdictions have also conducted similar exercises. In some of those cases, the design and implementation of certainelements of the framework have been criticized for their lack of credibility. This paper proposes a set of guidelines for constructing an effective crisis stress test. It combines financial markets impact studies of previous exercises with relevant case study information gleaned from those experiences to identify the key elements and to formulate their appropriate design. Pertinent concepts, issues and nuances particular to crisis stress testing are also discussed. The findings may be useful for country authorities seeking to include stress tests in their crisis management arsenal, as well as for the design of crisis programs.

Macrofinancial Stress Testing - Principles and Practices

International Monetary Fund. Monetary and Capital Markets Department
Macrofinancial Stress Testing Principles and Practices Book PDF

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 67 pages
File Size : 45,5 Mb
Release : 2012-08-22
Category : Business & Economics
ISBN : 9781498340021

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Macrofinancial Stress Testing - Principles and Practices by International Monetary Fund. Monetary and Capital Markets Department Pdf

The recent financial crisis drew unprecedented attention to the stress testing of financial institutions. On one hand, stress tests were criticized for having missed many of the vulnerabilities that led to the crisis. On the other, after the onset of the crisis, they were given a new role as crisis management tools to guide bank recapitalization and help restore confidence. This spurred an intense debate on the models, underlying assumptions, and uses of stress tests. Current stress testing practices, however, are not based on a systematic and comprehensive set of principles but have emerged from trial-and-error and often reflect constraints in human, technical, and data capabilities.

Into the Great Unknown

Ms.Li L. Ong,Mr.Rodolfo Maino,Ms.Nombulelo Duma
Into the Great Unknown Book PDF

Author : Ms.Li L. Ong,Mr.Rodolfo Maino,Ms.Nombulelo Duma
Publisher : International Monetary Fund
Page : 24 pages
File Size : 48,9 Mb
Release : 2010-12-01
Category : Business & Economics
ISBN : 9781455210893

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Into the Great Unknown by Ms.Li L. Ong,Mr.Rodolfo Maino,Ms.Nombulelo Duma Pdf

Stress testing has become the risk management tool du jour in the wake of the global financial crisis. In countries where the information reported by financial institutions is considered to be of sufficiently good quality, and supervisory and regulatory standards are high, stress tests can be of significant value. In contrast, the proliferation of stress testing in underdeveloped financial systems with weak oversight regimes is fraught with uncertainties, as it is unclear what the results actually represent and how they could be usefully applied. In this paper, problems associated with stress tests using weak data are examined. We offer a potentially more useful alternative, the "breaking point" method, which also requires close coordination with on-site supervision and complemented by other supervisory tools and qualitative information. Excel spreadsheet templates of the stress tests presented in this paper are provided.

Macroprudential Solvency Stress Testing of the Insurance Sector

Mr. Andreas A. Jobst,Nobuyasu Sugimoto,Timo Broszeit
Macroprudential Solvency Stress Testing of the Insurance Sector Book PDF

Author : Mr. Andreas A. Jobst,Nobuyasu Sugimoto,Timo Broszeit
Publisher : International Monetary Fund
Page : 84 pages
File Size : 42,7 Mb
Release : 2014-07-22
Category : Business & Economics
ISBN : 9781498324557

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Macroprudential Solvency Stress Testing of the Insurance Sector by Mr. Andreas A. Jobst,Nobuyasu Sugimoto,Timo Broszeit Pdf

Over the last decade, stress testing has become a central aspect of the Fund’s bilateral and multilateral surveillance work. Recently, more emphasis has also been placed on the role of insurance for financial stability analysis. This paper reviews the current state of system-wide solvency stress tests for insurance based on a comparative review of national practices and the experiences from Fund’s FSAP program with the aim of providing practical guidelines for the coherent and consistent implementation of such exercises. The paper also offers recommendations on improving the current insurance stress testing approaches and presentation of results.

A Framework for Macroprudential Bank Solvency Stress Testing

Mr.Andreas A. Jobst,Ms.Li L. Ong,Mr.Christian Schmieder
A Framework for Macroprudential Bank Solvency Stress Testing Book PDF

Author : Mr.Andreas A. Jobst,Ms.Li L. Ong,Mr.Christian Schmieder
Publisher : International Monetary Fund
Page : 55 pages
File Size : 43,9 Mb
Release : 2013-03-13
Category : Business & Economics
ISBN : 9781616355074

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A Framework for Macroprudential Bank Solvency Stress Testing by Mr.Andreas A. Jobst,Ms.Li L. Ong,Mr.Christian Schmieder Pdf

The global financial crisis has placed the spotlight squarely on bank stress tests. Stress tests conducted in the lead-up to the crisis, including those by IMF staff, were not always able to identify the right risks and vulnerabilities. Since then, IMF staff has developed more robust stress testing methods and models and adopted a more coherent and consistent approach. This paper articulates the solvency stress testing framework that is being applied in the IMF’s surveillance of member countries’ banking systems, and discusses examples of its actual implementation in FSAPs to 18 countries which are in the group comprising the 25 most systemically important financial systems (“S-25”) plus other G-20 countries. In doing so, the paper also offers useful guidance for readers seeking to develop their own stress testing frameworks and country authorities preparing for FSAPs. A detailed Stress Test Matrix (STeM) comparing the stress test parameters applie in each of these major country FSAPs is provided, together with our stress test output templates.

Stress Testing at the IMF

Stéphanie Marie Stolz,Marina Moretti,Mark Swinburne
Stress Testing at the IMF Book PDF

Author : Stéphanie Marie Stolz,Marina Moretti,Mark Swinburne
Publisher : International Monetary Fund
Page : 26 pages
File Size : 45,6 Mb
Release : 2008-09
Category : Business & Economics
ISBN : IND:30000126772080

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Stress Testing at the IMF by Stéphanie Marie Stolz,Marina Moretti,Mark Swinburne Pdf

Putting the pension system on a sustainable footing arguably remains the biggest challenge in Russia's economic policies. The debate about the policy options was hitherto constrained by the absence of general equilibrium analysis. This paper fills this gap by simulating their macroeconomic effects in a DSGE model calibrated to Russia's economy-the first of its kind to the best of our knowledge. The results suggest that a minimum benefit level in the public system should optimally be financed through lower government consumption, while higher taxation of labor and capital should be avoided. Reducing public investment spending is superior to increasing consumption taxes unless investment generates high rates of return.

Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses

Zineddine Alla,Mr.Raphael A Espinoza,Qiaoluan H. Li,Miguel A. Segoviano Basurto
Macroprudential Stress Tests A Reduced Form Approach to Quantifying Systemic Risk Losses Book PDF

Author : Zineddine Alla,Mr.Raphael A Espinoza,Qiaoluan H. Li,Miguel A. Segoviano Basurto
Publisher : International Monetary Fund
Page : 45 pages
File Size : 48,7 Mb
Release : 2018-03-09
Category : Business & Economics
ISBN : 9781484345344

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Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses by Zineddine Alla,Mr.Raphael A Espinoza,Qiaoluan H. Li,Miguel A. Segoviano Basurto Pdf

We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential stress testing. SE losses are measured using a reduced-form model to value financial entity assets, conditional on macroeconomic stress and the distress of other entities in the system. This valuation is made possible by a multivariate density which characterizes the asset values of the financial entities making up the system. In this paper this density is estimated using CIMDO, a statistical approach, which infers densities that are consistent with entities’ probabilities of default, which in this case are estimated using market-based data. Hence, SE losses capture the effects of interconnectedness structures that are consistent with markets’ perceptions of risk. We then show how SE losses can be decomposed into the likelihood of distress and the magnitude of losses, thereby quantifying the contribution of specific entities to systemic contagion. To illustrate the approach, we quantify SE losses due to Lehman Brothers’ default.

Next Generation Balance Sheet Stress Testing

Mr. Christian Schmieder,Maher Hasan,Mr. Claus Puhr
Next Generation Balance Sheet Stress Testing Book PDF

Author : Mr. Christian Schmieder,Maher Hasan,Mr. Claus Puhr
Publisher : International Monetary Fund
Page : 45 pages
File Size : 51,8 Mb
Release : 2011-04-01
Category : Business & Economics
ISBN : 9781455224005

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Next Generation Balance Sheet Stress Testing by Mr. Christian Schmieder,Maher Hasan,Mr. Claus Puhr Pdf

This paper presents a "second-generation" solvency stress testing framework extending applied stress testing work centered on Cihák (2007). The framework seeks enriching stress tests in terms of risk-sensitivity, while keeping them flexible, transparent, and user-friendly. The main contributions include (a) increasing the risk-sensitivity of stress testing by capturing changes in risk-weighted assets (RWAs) under stress, including for non-internal ratings based (IRB) banks (through a quasi-IRB approach); (b) providing stress testers with a comprehensive platform to use satellite models, and to define various assumptions and scenarios; (c) allowing stress testers to run multi-year scenarios (up to five years) for hundreds of banks, depending on the availability of data. The framework uses balance sheet data and is Excel-based with detailed guidance and documentation.

Market-Based Structural Top-Down Stress Tests of the Banking System

Mr.Jorge A. Chan-Lau
Market Based Structural Top Down Stress Tests of the Banking System Book PDF

Author : Mr.Jorge A. Chan-Lau
Publisher : International Monetary Fund
Page : 18 pages
File Size : 40,9 Mb
Release : 2013-04-10
Category : Business & Economics
ISBN : 9781484384923

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Market-Based Structural Top-Down Stress Tests of the Banking System by Mr.Jorge A. Chan-Lau Pdf

Despite increased need for top-down stress tests of financial institutions, performing them is challenging owing to the absence of granular information on banks’ trading and loan portfolios. To deal with these data shortcomings, this paper presents a market-based structural top-down stress testing methodology that relies in market-based measures of a bank's probability of default and structural models of default risk to infer the capital losses they could experience in stress scenarios. As an illustration, the methodology is applied to a set of banks in an advanced emerging market economy.

Stress Testing Financial Systems

Mr.Paul Louis Ceriel Hilbers,Mr.Matthew T. Jones,Mr.Graham L. Slack
Stress Testing Financial Systems Book PDF

Author : Mr.Paul Louis Ceriel Hilbers,Mr.Matthew T. Jones,Mr.Graham L. Slack
Publisher : International Monetary Fund
Page : 39 pages
File Size : 45,7 Mb
Release : 2004-07-01
Category : Business & Economics
ISBN : 9781451855012

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Stress Testing Financial Systems by Mr.Paul Louis Ceriel Hilbers,Mr.Matthew T. Jones,Mr.Graham L. Slack Pdf

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.

Lasso Regressions and Forecasting Models in Applied Stress Testing

Mr.Jorge A. Chan-Lau
Lasso Regressions and Forecasting Models in Applied Stress Testing Book PDF

Author : Mr.Jorge A. Chan-Lau
Publisher : International Monetary Fund
Page : 34 pages
File Size : 52,6 Mb
Release : 2017-05-05
Category : Business & Economics
ISBN : 9781475599022

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Lasso Regressions and Forecasting Models in Applied Stress Testing by Mr.Jorge A. Chan-Lau Pdf

Model selection and forecasting in stress tests can be facilitated using machine learning techniques. These techniques have proved robust in other fields for dealing with the curse of dimensionality, a situation often encountered in applied stress testing. Lasso regressions, in particular, are well suited for building forecasting models when the number of potential covariates is large, and the number of observations is small or roughly equal to the number of covariates. This paper presents a conceptual overview of lasso regressions, explains how they fit in applied stress tests, describes its advantages over other model selection methods, and illustrates their application by constructing forecasting models of sectoral probabilities of default in an advanced emerging market economy.