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Swinburne, Mark; Stolz, Stéphanie Marie; Moretti, Marina - International Monetary Fund (IMF) - 2008

For almost a decade, the IMF has been using stress tests to identify vulnerabilities across institutions that could undermine the stability of a country's financial system. This working paper focuses on the IMF's experience with stress testing in the Financial Sector Assessment Program (FSAP)....

Persistent link: https://www.econbiz.de/10005599429

Portfolio Credit Risk and Macroeconomic Shocks; Applications to Stress Testing Under Data-Restricted Environments

Basurto, Miguel A. Segoviano - International Monetary Fund (IMF) - 2006

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to … simply ignore the effects of macroeconomic shocks on credit risk. Aiming to improve the measurement of portfolio credit risk … macroeconomic shocks into credit risk, recovering robust estimators when only short time series of loans exist. CIMDO recovers …

Persistent link: https://www.econbiz.de/10005263920

Next Generation Balance Sheet Stress Testing

Schmieder, Christian; Hasan, Maher; Puhr, Claus - International Monetary Fund (IMF) - 2011

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 …

Persistent link: https://www.econbiz.de/10009019581

Austria; Financial Sector Assessment Program Technical Note: Stress Testing and Short-Term Vulnerabilities

International Monetary Fund (IMF); International … - 2008

determined by stress tests. The main sources of risk lie in the credit risk arising from exposures to Central, Eastern, and … Southeastern Europe (CESE) and the Commonwealth of Independent States (CIS), indirect credit risk from foreign currency lending …, and credit risk from domestic lending. The Austrian banking systems exhibits ample liquidity. In-depth discussions with …

Persistent link: https://www.econbiz.de/10011242521

Germany; Financial Sector Assessment Program: Detailed Assessment of Observance on Insurance Core Principles

International Monetary Fund (IMF); International … - 2011

Insurance regulation and supervision is of a high standard, and most of the enhancements suggested have been put in place. Further enhancements will be required, in the context of the forthcoming introduction of Solvency II requirements, in such areas as the frequency of onsite inspections, the...

Persistent link: https://www.econbiz.de/10011242543

Philippines; Financial System Stability Assessment Update

International Monetary Fund (IMF); International … - 2010

This paper reviews the Financial System Stability Assessment Update on the Philippines. The assessment reveals that the banking sector has been strengthened considerably since the Asian crisis of the late 1990s and today appears generally resilient to a broad range of macroeconomic risks. The...

Persistent link: https://www.econbiz.de/10011243302

Canada; Financial Sector Assessment Program: Detailed Assessment of the Level of Implementation of the IOSCO Principles and Objectives of Securities Regulation

International Monetary Fund (IMF); International … - 2008

The regulatory framework for the securities market of Canada exhibits high levels of implementation of the International Organization of Securities Commissionsâ€™ (IOSCO) Principles. The regulatory framework for most of the areas covered by securities regulation is robust. The general...

Persistent link: https://www.econbiz.de/10011244876

Jersey; Financial Sector Assessment Program Update: Detailed Assessment of Observance of the Insurance Core Principles

International Monetary Fund (IMF); International … - 2009

This report presents a Detailed Assessment of the Observance of the Insurance Core Principles Report on Jersey. Other than the international business, most cover is obtained from insurers based overseas by the large insurance broker community on the island. There is no ombudsman and no...

Persistent link: https://www.econbiz.de/10011244882

United Kingdom; Basel Core Principles for Effective Banking Supervision Detailed Assessment of Compliance

International Monetary Fund (IMF); International … - 2011

In recent years, the IMF has released a growing number of reports and other documents covering economic and financial developments and trends in member countries. Each report, prepared by a staff team after discussions with government officials, is published at the option of the member country.

Persistent link: https://www.econbiz.de/10011244999

United States; Publication of Financial Sector Assessment Program Documentation: Detailed Assessment of Observance of Basel Core Principles for Effective Banking Supervision

International Monetary Fund (IMF); International … - 2010

This paper presents Detailed Assessment of the United Statesâ€™s observance of Basel Core Principles for Effective Banking Supervision. The U.S. financial system is large and highly diversified. At the end-2007, total U.S. financial assets amounted to almost four and a half times the size...

Persistent link: https://www.econbiz.de/10011245173