Stress Testing Financial Systems: What to Do When the Governor Calls

By Matthew Jones, P. Hilbers. Social Science Research Network, 2004

128 citations recorded by the source corpus.

Stress testing is becoming a widely used tool to assess potential vulnerabilities in a financial system. This paper is intended to answer some of the basic questions that may arise as part of the process of stress testing. The paper begins with a discussion of stress testing in a financial system context, highlighting some of the differences between stress tests of systems and of individual portfolios. The paper provides an overview of the process itself, from identifying vulnerabilities, to constructing scenarios, to interpreting the results. The experience of the IMF in conducting stress testing as part of the Financial Sector Assessment Program (FSAP) is also discussed.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/2adee8b84632a6fae6e8423d885673d456c4b86c

Citations in the corpus

• Stress Testing Credit Risk: A Survey of Authorities' Approaches (2012, unknown): “Some considerations involved in using a macro structural model are discussed in Jones, Hilbers, and Slack (2004), such as the choice of the baseline assumptions, the policy responses, the time horizon, and which variables are assumed fixed and which are shocked.”