| Description |
1 online resource (62 pages) |
| Series |
IMF working paper ; WP/13/178.
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| Contents |
Cover; Abstract; Contents; I. Introduction; II. The Data; III. Identifying the Successful Crisis Stress Tests; Figures; 1. Solvency Stress Testing Applications; Tables; 1. Case Studies: Crisis Stress Tests; 2. Market Data: Financials Stock Price Index and CDS Spreads; IV. Designing an Effective Crisis Stress Test; A. Key Elements; Timing; 2. United States: The Sentiment after the SCAP; 3. European Union: The Ebb from the EBA; 4. Ireland: The Pain before the PCAR; 5. Spain: The Floor under the FSAP; 3. Crisis (and Follow-up) Stress Tests: Effectiveness Scorecard |
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4. Crisis Stress Tests: Design ScorecardGovernance; 5. Crisis Stress Test Jurisdictions: Financial Markets Statistics; Scope; 6. United States: S & P 500 Stock Market and Financial Sector Indices; Scenario design; Boxes; 1. Designing Crisis Stress Test Growth Scenarios; 7. United States: Baseline and Adverse Growth Scenarios for Crisis and Supervisory Stress Tests; 6. Crisis Stress Tests: Macro-financial Parameters Scorecard; 7. Crisis Stress Tests: Risk Factors Scorecard; Capital standards; Transparency; 2. The Potential Impact of Capital Hurdle Rates for Crisis Stress Tests |
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B. Other Important ConsiderationsAsset quality review; 8. Crisis Stress Tests: Disclosure Scorecard; Follow-up stress test(s); Liquidity stress test; 9. European Union and the United States: Evolution of Publicized Stress Testing Exercises; V. Comparing Crisis Stress Test Results with Restructuring Costs; VI. Concluding Remarks; Appendices; I. Case Studies of Crisis Solvency Stress Tests: United States, European Union, Ireland and Spain; Appendix Tables; 1. Crisis Stress Tests: Features of Design; II. The Cost of Direct Recapitalization versus Loss Recognition and Provisioning |
| Summary |
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 |
| Notes |
"August 2013." |
| Bibliography |
Includes bibliographical references |
| Subject |
Credibility theory (Insurance)
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Monetary policy -- Mathematical models.
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Credibility theory (Insurance)
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Monetary policy -- Mathematical models
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| Form |
Electronic book
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| Author |
Pazarbasioglu, Ceyla
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International Monetary Fund.
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