Stress Testing Financial Systems: What to Do When the Governor Calls

38 Pages Posted: 15 Feb 2006

See all articles by Matthew T. Jones

Matthew T. Jones

International Monetary Fund (IMF) - Monetary and Exchange Affairs Department

Paul Hilbers

International Monetary Fund (IMF)

Date Written: July 2004

Abstract

Stress testing is becoming a widely used tool to assess potential vulnerabilities in a financial system. This paper is intended to answer some of the basic questions that may arise as part of the process of stress testing. The paper 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 paper 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.

Keywords: Stress testing, financial soundness indicators

JEL Classification: G1, G2

Suggested Citation

Jones, Matthew Thomas and Hilbers, Paul, Stress Testing Financial Systems: What to Do When the Governor Calls (July 2004). Available at SSRN: https://ssrn.com/abstract=878952 or http://dx.doi.org/10.2139/ssrn.878952

Matthew Thomas Jones (Contact Author)

International Monetary Fund (IMF) - Monetary and Exchange Affairs Department ( email )

700 19th Street NW
Washington, DC 20431
United States

Paul Hilbers

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
541
Abstract Views
2,535
rank
65,717
PlumX Metrics