Stress Testing of Financial Systems: An Overview of Issues, Methodologies, and Fsap Experiences

By Winfrid Blaschke, Matthew Jones, G. Majnoni, María Soledad Martínez Pería. Social Science Research Network, 2001

246 citations recorded by the source corpus.

The paper has three objectives. After a general introduction to some of the concepts and basic techniques of stress testing, the paper gives an overview of some of the conceptual issues involved in evaluating risks at the aggregated level of financial systems. Second, this study provides a basic framework and toolkit for conducting stress tests. Finally, the paper reviews some of the stress-testing analyses conducted in the context of the Financial Sector Assessment Program (FSAP) and suggests simplified approaches to deal with situations where the quantity and quality of the data is less than ideal.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d9287ff409ebb091d55c45d0092a2442de6abccd

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. H. Kalirai
2. Metin Vatansever
3. Ali Hepşen
4. Martin Scheicher
5. M. Sorge

In Finance

1. H. Kalirai
2. Metin Vatansever
3. Ali Hepşen
4. Martin Scheicher
5. M. Sorge
6. F. González

Citations in the corpus

• Stress-Testing Macro Stress Testing: Does it Live Up to Expectations? (2012, unknown): “…broadly the same, as many of the most sophisticated models reviewed in this box had been developed previously.1 The earliest stress testing models were very basic, as they relied on equations linking aggregate profits and losses to macro developments (eg Blaschke et al (2001) or Bunn et al (2005)).”
• Stress-testing Financial Systems: An Overview of Current Methodologies (2004, methodology): “In particular, Blaschke et al. (2001) and IMF and World Bank (2003) review the basic analytical tools used by FSAPs across countries, while Drehmann, Hoggarth, Logan and Zicchino (2004) describe a number of approaches and results of macro stresstests carried out as part of the FSAP for the UK.”
• Macroeconomic Stress Testing: Preliminary Evidence for Austria (2002, methodology): “The starting point for our analysis is the method which the IMF proposes to assess credit risk (Blaschke et al., 2001).”
• Determining Impacts on Non-Performing Loan Ratio in Turkey (2013, methodology): “Beside on classic linear regression model, [3] and [4] use VAR methodology to investigate which factors is most effect on NPLs.”
• Stress Testing Credit Risk: A Survey of Authorities' Approaches (2012, unknown): “Blaschke et al. (2001) report an example in which the nonperforming loan (NPL) ratio is regressed against the nominal interest rate, the inflation rate, the change in real GDP, and the change in the terms of trade.”