Download or read book Handbook of Financial Stress Testing written by J. Doyne Farmer and published by . This book was released on 2022-04-14 with total page 729 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discover current uses and future development of stress tests, the most innovative regulatory tool to prevent and fight financial crises.
Download or read book The Financial System Under Stress written by Marc Uzan and published by Routledge. This book was released on 2003-09-02 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: The collapse of Barings bank and the currency crisis in Mexico are just two instances of stress in an international financial system still largely governed by the institutions established by the Bretton Woods Committee in 1944. Here, the authors put forward an agenda for a new system of international economic institutions to fit the changes in international relations. This agenda includes: * an analysis of the role of the Bretton Woods institutions and their relations with the newly created World Trade Organizations * a discussion of the search for world economic governance * an analysis of the crisis within EMS and the prospects for European Monetary Integration * an examination of the integration of private markets in the new economic architecture.
Download or read book Stress Testing Financial Systems written by Mr.Paul Louis Ceriel Hilbers and published by International Monetary Fund. This book was released on 2004-07-01 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Stress Testing at the IMF written by Mr.Tobias Adrian and published by International Monetary Fund. This book was released on 2020-02-05 with total page 73 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explains specifics of stress testing at the IMF. After a brief section on the evolution of stress tests at the IMF, the paper presents the key steps of an IMF staff stress test. They are followed by a discussion on how IMF staff uses stress tests results for policy advice. The paper concludes by identifying remaining challenges to make stress tests more useful for the monitoring of financial stability and an overview of IMF staff work program in that direction. Stress tests help assess the resilience of financial systems in IMF member countries and underpin policy advice to preserve or restore financial stability. This assessment and advice are mainly provided through the Financial Sector Assessment Program (FSAP). IMF staff also provide technical assistance in stress testing to many its member countries. An IMF macroprudential stress test is a methodology to assess financial vulnerabilities that can trigger systemic risk and the need of systemwide mitigating measures. The definition of systemic risk as used by the IMF is relevant to understanding the role of its stress tests as tools for financial surveillance and the IMF’s current work program. IMF stress tests primarily apply to depository intermediaries, and, systemically important banks.
Download or read book Stress Testing Financial Systems written by Mr.Matthew T Jones and published by International Monetary Fund. This book was released on 2004-09-27 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stress testing is becoming a widely used tool to assess potential vulnerabilities in a financial system. This booklet is intended to answer some of the basic questions that may arise as part of the process of stress testing. The pamphlet 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 booklet 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.
Download or read book Stress testing the Banking System written by Mario Quagliariello and published by Cambridge University Press. This book was released on 2009-10-15 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stress tests are used in risk management by banks in order to determine how certain crisis scenarios would affect the value of their portfolios, and by public authorities for financial stability purposes. Until the first half of 2007, interest in stress-testing was largely restricted to practitioners. Since then, the global financial system has been hit by deep turbulences, including the fallout from sub-prime mortgage lending. Many observers have pointed out that the severity of the crisis has been largely due to its unexpected nature and have claimed that a more extensive use of stress-testing methodologies would have helped to alleviate the repercussions of the crisis. This book analyses the theoretical underpinnings, as well as the practical aspects, of applying such methodologies. Building on the experience gained by the economists of many national and international financial authorities, it provides an updated toolkit for both practitioners and academics.
Download or read book The Financial System Under Stress written by Marc Uzan and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stress Test written by Timothy F. Geithner and published by Crown. This book was released on 2015-05-05 with total page 610 pages. Available in PDF, EPUB and Kindle. Book excerpt: New York Times Bestseller Washington Post Bestseller Los Angeles Times Bestseller Stress Test is the story of Tim Geithner’s education in financial crises. As president of the Federal Reserve Bank of New York and then as President Barack Obama’s secretary of the Treasury, Timothy F. Geithner helped the United States navigate the worst financial crisis since the Great Depression, from boom to bust to rescue to recovery. In a candid, riveting, and historically illuminating memoir, he takes readers behind the scenes of the crisis, explaining the hard choices and politically unpalatable decisions he made to repair a broken financial system and prevent the collapse of the Main Street economy. This is the inside story of how a small group of policy makers—in a thick fog of uncertainty, with unimaginably high stakes—helped avoid a second depression but lost the American people doing it. Stress Test is also a valuable guide to how governments can better manage financial crises, because this one won’t be the last. Stress Test reveals a side of Secretary Geithner the public has never seen, starting with his childhood as an American abroad. He recounts his early days as a young Treasury official helping to fight the international financial crises of the 1990s, then describes what he saw, what he did, and what he missed at the New York Fed before the Wall Street boom went bust. He takes readers inside the room as the crisis began, intensified, and burned out of control, discussing the most controversial episodes of his tenures at the New York Fed and the Treasury, including the rescue of Bear Stearns; the harrowing weekend when Lehman Brothers failed; the searing crucible of the AIG rescue as well as the furor over the firm’s lavish bonuses; the battles inside the Obama administration over his widely criticized but ultimately successful plan to end the crisis; and the bracing fight for the most sweeping financial reforms in more than seventy years. Secretary Geithner also describes the aftershocks of the crisis, including the administration’s efforts to address high unemployment, a series of brutal political battles over deficits and debt, and the drama over Europe’s repeated flirtations with the economic abyss. Secretary Geithner is not a politician, but he has things to say about politics—the silliness, the nastiness, the toll it took on his family. But in the end, Stress Test is a hopeful story about public service. In this revealing memoir, Tim Geithner explains how America withstood the ultimate stress test of its political and financial systems.
Download or read book Market Based Structural Top Down Stress Tests of the Banking System written by Mr.Jorge A. Chan-Lau and published by International Monetary Fund. This book was released on 2013-04-10 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite increased need for top-down stress tests of financial institutions, performing them is challenging owing to the absence of granular information on banks’ trading and loan portfolios. To deal with these data shortcomings, this paper presents a market-based structural top-down stress testing methodology that relies in market-based measures of a bank's probability of default and structural models of default risk to infer the capital losses they could experience in stress scenarios. As an illustration, the methodology is applied to a set of banks in an advanced emerging market economy.
Download or read book United States written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2015-07-07 with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Technical Note discusses key findings of stress testing on the United States under the Financial Sector Assessment Program. Several stress tests were used to quantify the potential impacts of risks and vulnerabilities in banking and non-banking sectors. The stress tests run by the authorities and by companies under the Dodd-Frank Act (DFA) suggest that most large bank holding companies (BHCs) are resilient to shocks similar to the last crisis. For BHCs, the IMF staff’s solvency stress tests over the initial stressed period are largely in line with the DFA stress testing results, and suggest that the system is generally robust, although some BHCs would fall below the hurdle rate in the stressed environment.
Download or read book Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems written by Mr.Andreas A. Jobst and published by International Monetary Fund. This book was released on 2017-05-01 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bank liquidity stress testing, which has become de rigueur following the costly lessons of the global financial crisis, remains underdeveloped compared to solvency stress testing. The ability to adequately identify, model and assess the impact of liquidity shocks, which are infrequent but can have a severe impact on affected banks and financial systems, is complicated not only by data limitations but also by interactions among multiple factors. This paper provides a conceptual overview of liquidity stress testing approaches for banks and discusses their implementation by IMF staff in the Financial Sector Assessment Program (FSAP) for countries with systemically important financial sectors over the last six years.
Download or read book The Nonlinear Interaction Between Monetary Policy and Financial Stress written by Martín Saldías and published by International Monetary Fund. This book was released on 2017-08-04 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the nonlinear relationship between monetary policy and financial stress and its effects on the transmission of shocks to output. Results from a Bayesian Threshold Vector Autoregression (TVAR) model show that the effects of monetary policy shocks on output growth are stronger during normal times than during times of financial stress. Monetary policy shocks are effective to ease stressed financial conditions, but have limited ability to fully contain the buildup of vulnerabilities. These results have important policy implications for central banks’ countercyclical policies under different financial conditions and for “lean against the wind” policies to address financial vulnerabilities.
Download or read book Reverse Stress Testing in Banking written by Michael Eichhorn and published by Walter de Gruyter GmbH & Co KG. This book was released on 2021-05-10 with total page 483 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reverse stress testing was introduced in risk management as a regulatory tool for financial institutions more than a decade ago. The recent Covid-19 crisis illustrates its relevance and highlights the need for a systematic re-thinking of tail risks in the banking sector. This book addresses the need for practical guidance describing the entire reverse stress testing process. Reverse Stress Testing in Banking features contributions from a diverse range of established practitioners and academics. Organized in six parts, the book presents a series of contributions providing an in-depth understanding of: Regulatory requirements and ways to address them Quantitative and qualitative approaches to apply reverse stress testing at different levels – from investment portfolios and individual banks to the entire banking system The use of artificial intelligence, machine learning and quantum computing to gain insights into and address banks’ structural weaknesses Opportunities to co-integrate reverse stress testing with recovery and resolution planning Governance and processes for board members and C-suite executives Readers will benefit from the case studies, use cases from practitioners, discussion questions, recommendations and innovative practices provided in this insightful and pioneering book.
Download or read book United Kingdom written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2016-06-17 with total page 91 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses how Financial Sector Assessment Program (FSAP) stress test assesses the resilience of the banking sector as a whole rather than the capital adequacy of individual institutions. The FSAP approach to stress testing is essentially macroprudential: it focuses on resilience of the broader financial system to adverse macro-financial conditions rather than on resilience of individual banks to specific shocks. This test ensures consistency in macroeconomic scenarios and metrics across firms to facilitate the assessment of the banking system as a whole. The stress test analysis is intended to help country authorities to identify key sources of systemic risk in the banking sector and inform macroprudential policies to enhance its resilience to absorb shocks.
Download or read book Handbook of Financial Stress Testing written by J. Doyne Farmer and published by Cambridge University Press. This book was released on 2022-04-14 with total page 730 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stress tests are the most innovative regulatory tool to prevent and fight financial crises. Their use has fundamentally changed the modeling of financial systems, financial risk management in the public and private sector, and the policies designed to prevent and mitigate financial crises. When financial crises hit, stress tests take center stage. Despite their centrality to public policy, the optimal design and use of stress tests remains highly contested. Written by an international team of leading thinkers from academia, the public sector, and the private sector, this handbook comprehensively surveys and evaluates the state of play and charts the innovations that will determine the path ahead. It is a comprehensive and interdisciplinary resource that bridges theory and practice and places financial stress testing in its wider context. This guide is essential reading for researchers, practitioners, and policymakers working on financial risk management and financial regulation.
Download or read book Preparing for the Next Financial Crisis written by Esa Jokivuolle and published by Cambridge University Press. This book was released on 2017-11-16 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book uses perspectives of finance and banking to offer predictions on future financial crises, and how we can prepare for them.
Download or read book Canada written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2019-06-24 with total page 85 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Financial System Stability Assessment paper discusses that Canada has enjoyed favorable macroeconomic outcomes over the past decades, and its vibrant financial system continues to grow robustly. However, macrofinancial vulnerabilities—notably, elevated household debt and housing market imbalances—remain substantial, posing financial stability concerns. Various parts of the financial system are directly exposed to the housing market and/or linked through housing finance. The financial system would be able to manage severe macrofinancial shocks. Major deposit-taking institutions would remain resilient, but mortgage insurers would need additional capital in a severe adverse scenario. Housing finance is broadly resilient, notwithstanding some weaknesses in the small non-prime mortgage lending segment. Although banks’ overall capital buffers are adequate, additional required capital for mortgage exposures, along with measures to increase risk-based differentiation in mortgage pricing, would be desirable. This would help ensure adequate through-the cycle buffers, improve mortgage risk-pricing, and limit procyclical effects induced by housing market corrections.
