Stress Testing of Financial Systems: An Overview of Issues, Methodologies, and Fsap Experiences

40 Pages Posted: 31 Jan 2006

See all articles by Winfrid Blaschke

Winfrid Blaschke

European Union - European Commission

Matthew T. Jones

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

Giovanni Majnoni

World Bank

Maria Soledad Martinez Peria

International Monetary Fund (IMF)

Date Written: June 2001

Abstract

The paper has three objectives. After a general introduction to some of the concepts and basic techniques of stress testing, the paper gives an overview of some of the conceptual issues involved in evaluating risks at the aggregated level of financial systems. Second, this study provides a basic framework and toolkit for conducting stress tests. Finally, the paper reviews some of the stress-testing analyses conducted in the context of the Financial Sector Assessment Program (FSAP) and suggests simplified approaches to deal with situations where the quantity and quality of the data is less than ideal.

Keywords: Stress testing, interest rate risk, credit risk, foreign exchange risk, liquidity risk

JEL Classification: G1, G21

Suggested Citation

Blaschke, Winfrid and Jones, Matthew Thomas and Majnoni, Giovanni and Martinez Peria, Maria Soledad, Stress Testing of Financial Systems: An Overview of Issues, Methodologies, and Fsap Experiences (June 2001). IMF Working Paper No. 01/88. Available at SSRN: https://ssrn.com/abstract=879626

Winfrid Blaschke (Contact Author)

European Union - European Commission ( email )

Rue de la Loi 200
Brussels, B-1049
Belgium

Matthew Thomas Jones

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

700 19th Street NW
Washington, DC 20431
United States

Giovanni Majnoni

World Bank ( email )

1818 H Street, N.W.
Washington, DC 20433
United States
202-458-7542 (Phone)
202-522-2106 (Fax)

HOME PAGE: http://www.worldbank.org/research/interest/intrstweb.htm

Maria Soledad Martinez Peria

International Monetary Fund (IMF) ( email )

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

Register to save articles to
your library

Register

Paper statistics

Downloads
1,092
rank
18,568
Abstract Views
3,610
PlumX Metrics