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Author: Mr.Tobias Adrian
Publisher: International Monetary Fund
ISBN: 1513520741
Category : Business & Economics
Languages : en
Pages : 73
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Book Description
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.
Author: Mr.Tobias Adrian
Publisher: International Monetary Fund
ISBN: 1513520741
Category : Business & Economics
Languages : en
Pages : 73
Get Book Here
Book Description
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.
Author:
Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294
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Book Description
Author: Mr.Andreas A. Jobst
Publisher: International Monetary Fund
ISBN: 1475557531
Category : Business & Economics
Languages : en
Pages : 93
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Book Description
The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ("Systemic CCA") to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector risk management and the system-wide capital assessment in top-down stress testing. The suggested approach uses advanced contingent claims analysis (CCA) to generate aggregate estimates of the joint default risk of multiple institutions as a conditional tail expectation using multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic risk and contingent liabilities of the financial sector during times of stress.
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 1463943679
Category : Business & Economics
Languages : en
Pages : 36
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Book Description
In this paper we identify some of the main factors behind systemic risk in a set of international large-scale complex banks using the novel CoVaR approach. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find no evidence that a larger size increases systemic risk within the class of large global banks. We also show that the sensitivity of system-wide risk to an individual bank is asymmetric across episodes of positive and negative asset returns. Since short-term wholesale funding emerges as the most relevant systemic factor, our results support the Basel Committee's proposal to introduce a net stable funding ratio, penalizing excessive exposure to liquidity risk.
Author: Ms.Marina Moretti
Publisher: International Monetary Fund
ISBN: 1513512277
Category : Business & Economics
Languages : en
Pages : 88
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Book Description
This paper updates the IMF’s work on general principles, strategies, and techniques from an operational perspective in preparing for and managing systemic banking crises in light of the experiences and challenges faced during and since the global financial crisis. It summarizes IMF advice concerning these areas from staff of the IMF Monetary and Capital Markets Department (MCM), drawing on Executive Board Papers, IMF staff publications, and country documents (including program documents and technical assistance reports). Unless stated otherwise, the guidance is generally applicable across the IMF membership.
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 1498342620
Category : Business & Economics
Languages : en
Pages : 45
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Book Description
This note provides guidance to facilitate the staff’s advice on macroprudential policy in Fund surveillance. It elaborates on the principles set out in the “Key Aspects of Macroprudential Policy,” taking into account the work of international standard setters as well as the evolving country experience with macroprudential policy. The main note is accompanied by supplements offering Detailed Guidance on Instruments and Considerations for Low Income Countries
Author: MissMercedes Vera Martin
Publisher: International Monetary Fund
ISBN: 148436077X
Category : Business & Economics
Languages : en
Pages : 49
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Book Description
External shocks since 2014—lower oil prices and slower growth in key trading partners—have put financial sectors, mainly banks, in the eight Caucasus and Central Asia (CCA) countries under increased stress. Even before the shocks, CCA banking sectors were not at full strength. Asset quality was generally weak, due in part to shortcomings in regulation, supervision, and governance. The economies were highly dollarized. Business practices were affected by lack of competition and, in most countries, connected lending, which undermined banking sector health. Shortcomings in financial regulation and supervision allowed the unsound banking practices to remain unaddressed. The external shocks exacerbated in these underlying vulnerabilities. Strains in CCA banking sectors intensified as liquidity tightened, asset quality deteriorated, and banks became undercapitalized. These challenges have required public intervention in some cases.
Author: Jean-Pierre Fouque
Publisher: Cambridge University Press
ISBN: 1107023432
Category : Business & Economics
Languages : en
Pages : 993
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Book Description
The Handbook on Systemic Risk, written by experts in the field, provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. The Handbook explores the multidisciplinary approaches to analyzing this risk, the data requirements for further research, and the recommendations being made to avert financial crisis. The Handbook is designed to encourage new researchers to investigate a topic with immense societal implications as well as to provide, for those already actively involved within their own academic discipline, an introduction to the research being undertaken in other disciplines. Each chapter in the Handbook will provide researchers with a superior introduction to the field and with references to more advanced research articles. It is the hope of the editors that this Handbook will stimulate greater interdisciplinary academic research on the critically important topic of systemic risk in the global financial markets.
Author: Martin Cihák
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 80
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Book Description
Stress testing is a useful and increasingly popular, yet sometimes misunderstood, method of analyzing the resilience of financial systems to adverse events. This paper aims to help demystify stress tests, and illustrate their strengths and weaknesses. Using an Excel-based exercise with institution-by-institution data, readers are walked through stress testing for credit risk, interest rate and exchange rate risks, liquidity risk and contagion risk, and are guided in the design of stress testing scenarios. The paper also describes the links between stress testing and other analytical tools, such as financial soundness indicators and supervisory early warning systems. Furthermore, it includes surveys of stress testing practices in central banks and the IMF.
Author: Sabri Boubaker
Publisher: World Scientific
ISBN: 1800614330
Category : Business & Economics
Languages : en
Pages : 456
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Book Description
In contrast to non-financial firms, banks have undergone significant turbulence in the past decade, enduring severe financial crises and unprecedented regulatory reforms. New regulations, including heightened capital and liquidity requirements, measures to address regulatory migration, resolution authority, stress testing, and capital planning, have spurred the development of new tools to manage institutional failure. The primary goal has been to reduce the likelihood of poor performance and improve stock market valuations to restore public confidence in the industry. The banking industry plays a vital role in global economic and financial stability and is subject to intense regulatory and market scrutiny. Financial instability can be very costly for banks due to its spillover effects on other parts of the economy. Therefore, a sound, stable, and healthy financial system is essential for efficient resource allocation and risk distribution across the economy.This is the first book that comprehensively addresses a range of contemporary issues in the global banking industry, providing a thorough understanding of the challenges and opportunities faced by the sector. The book examines how banking business models, effective policies, and regulations can address these issues, covering corporate governance, asset-liability management, risk management, financial performance, and regulatory frameworks. The potential benefits of alternative banking models, including Islamic banking, and their contribution to global financial stability and resilience are also explored.Contributions from international scholars using both quantitative and qualitative methods provide new insights, recent findings, and perspectives on future bank stability and resilience in a global context. The book also presents updated evidence and debates on the impact of recent regulations and governance structures on the industry, which has undergone significant changes in response to financial turmoil and new laws and regulations aimed at enhancing bank resiliency, protecting against systematic risks, and promoting fair and ethical banking practices.
