Related Books

Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective
Language: en
Pages: 47
Authors: Mr.Marco Gross
Categories: Business & Economics
Type: BOOK - Published: 2020-07-03 - Publisher: International Monetary Fund

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The objective of this paper is to present an integrated tool suite for IFRS 9- and CECL-compatible estimation in top-down solvency stress tests. The tool suite
Stress Testing at the IMF
Language: en
Pages: 73
Authors: Mr.Tobias Adrian
Categories: Business & Economics
Type: BOOK - Published: 2020-02-05 - Publisher: International Monetary Fund

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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
Credibility and Crisis Stress Testing
Language: en
Pages: 64
Authors: Ms.Li L. Ong
Categories: Business & Economics
Type: BOOK - Published: 2013-08-09 - Publisher: International Monetary Fund

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Credibility is the bedrock of any crisis stress test. The use of stress tests to manage systemic risk was introduced by the U.S. authorities in 2009 in the form
Macroprudential Solvency Stress Testing of the Insurance Sector
Language: en
Pages: 84
Authors: Mr.Andreas A. Jobst
Categories: Business & Economics
Type: BOOK - Published: 2014-07-22 - Publisher: International Monetary Fund

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Over the last decade, stress testing has become a central aspect of the Fund’s bilateral and multilateral surveillance work. Recently, more emphasis has also
Designing Effective Macroprudential Stress Tests
Language: en
Pages: 34
Authors: Mr.Dimitri G. Demekas
Categories: Business & Economics
Type: BOOK - Published: 2015-06-30 - Publisher: International Monetary Fund

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Giving stress tests a macroprudential perspective requires (i) incorporating general equilibrium dimensions, so that the outcome of the test depends not only on