Next Generation Balance Sheet Stress Testing

43 Pages Posted: 26 Apr 2011

See all articles by Maher Mohamad Hasan

Maher Mohamad Hasan

International Monetary Fund (IMF)

Christian Schmieder

Bank for International Settlements (BIS)

Claus Puhr

Oesterreichische Nationalbank (OeNB)

Date Written: April 2011


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.

Keywords: Bank supervision, Banks, Basel Core Principles, Credit risk, Financial risk, Risk management

Suggested Citation

Hasan, Maher Mohamad and Schmieder, Christian and Puhr, Claus, Next Generation Balance Sheet Stress Testing (April 2011). IMF Working Paper No. 11/83, Available at SSRN:

Maher Mohamad Hasan (Contact Author)

International Monetary Fund (IMF) ( email )

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

Christian Schmieder

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002

Claus Puhr

Oesterreichische Nationalbank (OeNB) ( email )

Otto-Wagner-Platz 3
1090 Vienna

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