A Framework for Macroprudential Bank Solvency Stress Testing; Application to S-25 and Other G-20 Country FSAPs

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Andreas A. Jobst; Li L Ong; Christian Schmieder;
  • Subject: Banking sector;Financial systems;Financial Sector Assessment Program;Economic models;Stress testing;Risk management;Group of Twenty;Basel III, Financial Sector Assessment Plan (FSAP), G-20, macroprudential, S-25, satellite models, solvency, surveillance, banking, capital adequacy, bank solvency, payout ratio, Financial Econometrics, Field Experiments, General, surveillance.,

The global financial crisis has placed the spotlight squarely on bank stress tests. Stress tests conducted in the lead-up to the crisis, including those by IMF staff, were not always able to identify the right risks and vulnerabilities. Since then, IMF staff has develop... View more
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