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Credibility and Crisis Stress Testing [electronic resource] Ong, Li L..

Author/Creator:
Ong, Li L.
Publication:
Washington, D.C. : International Monetary Fund, 2013.
Series:
IMF eLibrary
IMF Working Papers; Working Paper No. 13/178.
IMF Working Papers; Working Paper No. 13/178
Format/Description:
Government document
Book
1 online resource (63 p.)
Local subjects:
Asset.
Asset quality review.
Balance sheets.
Bank accounting.
Bank assets.
Bank capital.
Bank capitalization.
Bank for international settlements.
Bank holding.
Bank holding companies.
Bank holding company.
Bank of spain.
Bank portfolios.
Bank recapitalization.
Bank regulation.
Bank restructuring.
Bank solvency.
Bank stocks.
Bank structure.
Bank supervision.
Bank valuations.
Banking assets.
Banking authority.
Banking regulation.
Banking sector.
Banking supervision.
Banking supervisors.
Banking system assets.
Banking systems.
Banking union.
Banks.
Capital adequacy.
Capital adequacy ratio.
Capital and Ownership Structure.
Capital requirement.
Capital standard.
CCAR.
CEBS.
Commercial property.
Crisis.
Deposit insurance.
Disclosure.
Federal deposit insurance.
Field Experiments.
Financial backstop.
Financial Econometrics.
Financing Policy.
General.
Holding company.
Hurdle rates.
Liquidity risk.
Loan.
Loan review.
Mortgages.
National bank.
Other Depository Institutions.
PCAR.
Recapitalization.
Restructuring.
Risk management.
SCAP.
Solvency.
Sovereign risk.
Stress testing.
Tier 1 capital.
Transparency.
Ireland.
Spain.
United States.
Summary:
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 of the Supervisory Capital Assessment Program. Since then, supervisory authorities in other jurisdictions have also conducted similar exercises. In some of those cases, the design and implementation of certainelements of the framework have been criticized for their lack of credibility. This paper proposes a set of guidelines for constructing an effective crisis stress test. It combines financial markets impact studies of previous exercises with relevant case study information gleaned from those experiences to identify the key elements and to formulate their appropriate design. Pertinent concepts, issues and nuances particular to crisis stress testing are also discussed. The findings may be useful for country authorities seeking to include stress tests in their crisis management arsenal, as well as for the design of crisis programs.
Notes:
Description based on print version record.
Contributor:
Ong, Li L.
Pazarbasioglu, Ceyla.
Other format:
Print Version:
ISBN:
1484395611:
9781484395615
ISSN:
1018-5941
Publisher Number:
10.5089/9781484395615.001
Access Restriction:
Restricted for use by site license.
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