Stress Testing at the IMF

25 Pages Posted: 12 Sep 2008

See all articles by Stéphanie Stolz

Stéphanie Stolz

International Monetary Fund (IMF); European Central Bank (ECB)

Marina Moretti

International Monetary Fund (IMF)

M. Swinburne

International Monetary Fund (IMF)

Date Written: September 2008

Abstract

For almost a decade, the IMF has been using stress tests to identify vulnerabilities across institutions that could undermine the stability of a country's financial system. This working paper focuses on the IMF's experience with stress testing in the Financial Sector Assessment Program (FSAP). It provides background on the nature of an FSAP and the role of macro stress testing within it. It also describes how the methodology of stress testing in FSAPs has been evolving and what are fairly common approaches now being used. Finally, it discusses the main strengths and challenges for future development of macro stress testing in FSAPs and provides an overview of stress testing practice in European FSAPs.

Keywords: Working Paper

Suggested Citation

Stolz, Stephanie and Moretti, Marina and Swinburne, M., Stress Testing at the IMF (September 2008). IMF Working Papers, Vol. , pp. 1-23, 2008. Available at SSRN: https://ssrn.com/abstract=1266539

Stephanie Stolz

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Marina Moretti (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

M. Swinburne

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

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