Stress Testing of Financial Systems: An Overview of Issues, Methodologies, and Fsap Experiences
40 Pages Posted: 31 Jan 2006
Date Written: June 2001
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: Suggested Citation