Introduction to applied stress testing /
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| Author / Creator: | Čihák, Martin, author. |
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| Imprint: | Washington, D.C. : International Monetary Fund, ©2007. |
| Description: | 1 online resource (74 pages) : illustrations |
| Language: | English |
| Series: | IMF working paper ; WP/07/59. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12496184 |
| Summary: | Stress testing is a useful and increasingly popular, yet sometimes misunderstood, method of analyzing the resilience of financial systems to adverse events. This paper aims to help demystify stress tests, and illustrate their strengths and weaknesses. Using an Excel-based exercise with institution-by-institution data, readers are walked through stress testing for credit risk, interest rate and exchange rate risks, liquidity risk and contagion risk, and are guided in the design of stress testing scenarios. The paper also describes the links between stress testing and other analytical tools, such as financial soundness indicators and supervisory early warning systems. Furthermore, it includes surveys of stress testing practices in central banks and the IMF. |
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| Physical Description: | 1 online resource (74 pages) : illustrations |
| Format: | Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |
| Bibliography: | Includes bibliographical references (pages 71-74). |
| ISBN: | 128244834X 9781282448346 1451910762 9781451910766 1462345743 9781462345748 9786613821539 6613821535 |