Macroprudential Stress Tests And Policies Searching For Robust And Implementable Frameworks
Download and Read Macroprudential Stress Tests And Policies Searching For Robust And Implementable Frameworks full books in PDF, ePUB, and Kindle. Read online free Macroprudential Stress Tests And Policies Searching For Robust And Implementable Frameworks ebook anywhere anytime directly on your device. We cannot guarantee that every ebooks is available!
Author | : Ron Anderson |
Publisher | : International Monetary Fund |
Total Pages | : 79 |
Release | : 2018-09-11 |
Genre | : Business & Economics |
ISBN | : 1484376382 |
Download Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks Book in PDF, Epub and Kindle
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.
Author | : |
Publisher | : |
Total Pages | : 79 |
Release | : 2018 |
Genre | : |
ISBN | : |
Download Macroprudential Stress Test and Policies Book in PDF, Epub and Kindle
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.
Author | : Mr.Dimitri G. Demekas |
Publisher | : International Monetary Fund |
Total Pages | : 34 |
Release | : 2015-06-30 |
Genre | : Business & Economics |
ISBN | : 1513513621 |
Download Designing Effective Macroprudential Stress Tests Book in PDF, Epub and Kindle
Giving stress tests a macroprudential perspective requires (i) incorporating general equilibrium dimensions, so that the outcome of the test depends not only on the size of the shock and the buffers of individual institutions but also on their behavioral responses and their interactions with each other and with other economic agents; and (ii) focusing on the resilience of the system as a whole. Progress has been made toward the first goal: several models are now available that attempt to integrate solvency, liquidity, and other sources of risk and to capture some behavioral responses and feedback effects. But building models that measure correctly systemic risk and the contribution of individual institutions to it while, at the same time, relating the results to the established regulatory framework has proved more difficult. Looking forward, making macroprudential stress tests more effective would entail using a variety of analytical approaches and scenarios, integrating non-bank financial entities, and exploring the use of agent-based models. As well, macroprudential stress tests should not be used in isolation but be treated as complements to other tools and—crucially—be combined with microprudential perspectives.
Author | : Zineddine Alla |
Publisher | : International Monetary Fund |
Total Pages | : 45 |
Release | : 2018-03-09 |
Genre | : Business & Economics |
ISBN | : 1484345347 |
Download Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses Book in PDF, Epub and Kindle
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.
Author | : Mr.Andreas A. Jobst |
Publisher | : International Monetary Fund |
Total Pages | : 84 |
Release | : 2014-07-22 |
Genre | : Business & Economics |
ISBN | : 149832455X |
Download Macroprudential Solvency Stress Testing of the Insurance Sector Book in PDF, Epub and Kindle
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.
Author | : Mr.Tobias Adrian |
Publisher | : International Monetary Fund |
Total Pages | : 73 |
Release | : 2020-02-05 |
Genre | : Business & Economics |
ISBN | : 1513520741 |
Download Stress Testing at the IMF Book in PDF, Epub and Kindle
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.Matthew T Jones |
Publisher | : International Monetary Fund |
Total Pages | : 18 |
Release | : 2004-09-27 |
Genre | : Business & Economics |
ISBN | : 9781589064027 |
Download Stress Testing Financial Systems Book in PDF, Epub and Kindle
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.
Author | : Lucyna Gornicka |
Publisher | : |
Total Pages | : 54 |
Release | : 2020-08-14 |
Genre | : |
ISBN | : 9781513554471 |
Download Stress Testing and Calibration of Macroprudential Policy Tools Book in PDF, Epub and Kindle
We present a semi-structural model of default risk, which is a function of loan and borrower characteristics, economic conditions, and the regulatory environment. We use this model to simulate bank credit losses for stress-testing purposes and to calibrate borrower-based macroprudential tools. The proposed approach is very flexible and is particularly useful when there is limited history of crisis episodes, when crises bring unanticipated shocks where past tail events offer little guidance and when structural shocks or changes in financial regulations have altered the loan default process. We apply the model to quantify mortgage lending risk in two distinct mortgage markets. For each application, we show a range of modeling adjustments that can be made to capture country-specific institutional features. The model uses bank portfolio data broken down by risk bucket and vintage, which enables us to take explicit account of the loan life cycle and to incorporate the housing and economic cycles. This feature facilitates a timely assessment of banks' loss-absorbing capacity and the buildup of systemic risk conditional on policy. It also enables counterfactual analysis and the evaluation of macroprudential policy interventions.
Author | : International Monetary Fund. Monetary and Capital Markets Department |
Publisher | : International Monetary Fund |
Total Pages | : 33 |
Release | : 2011-03-14 |
Genre | : Business & Economics |
ISBN | : 1498339174 |
Download Macroprudential Policy - An Organizing Framework - Background Paper Book in PDF, Epub and Kindle
MCM conducted a survey in December 2010 to take stock of international experiences with financial stability and the evolving macroprudential policy framework. The survey was designed to seek information in three broad areas: the institutional setup for macroprudential policy, the analytical approach to systemic risk monitoring, and the macroprudential policy toolkit. The survey was sent to 63 countries and the European Central Bank (ECB), including all countries in the G-20 and those subject to mandatory Financial Sector Assessment Programs (FSAPs). The target list is designed to cover a broad range of jurisdictions in all regions, but more weight is given to economies that are systemically important (see Annex for details). The response rate is 80 percent. This note provides a summary of the survey’s main findings.
Author | : Mr.Ivo Krznar |
Publisher | : International Monetary Fund |
Total Pages | : 49 |
Release | : 2017-06-30 |
Genre | : Business & Economics |
ISBN | : 1484307100 |
Download Towards Macroprudential Stress Testing Book in PDF, Epub and Kindle
Macro-feedback effects have been identified as a key missing element for more effective macro-prudential stress testing. To fill this gap, this paper develops a framework that facilitates the analysis of both the direct effects of macroeconomic shocks on the solvency of individual banks and feedback effects that allow for the amplification and propagation of shocks that can result from bank deleveraging and credit crunches. The framework ensures consistency in the key relationships between macroeconomic and financial variables, and banks’ balance sheets. This is accomplished by embedding a standard stress-testing framework based on individual banks’ data in a semi-structural macroeconomic model. The framework has numerous applications that can strengthen stress testing and macro financial analysis. Moreover, it provides an avenue for many extensions that address the challenges of incorporating other second-round effects important for comprehensive systemic risk analysis, such as interactions between solvency, liquidity and contagion risks. To this end, the paper presents some preliminary simulations of feedback effects arising from the link between the liquidity and solvency risk.