IMF Working Paper Monetary and Capital Markets Departments Next Generation Balance Sheet Stress Testing

Content Provider	Semantic Scholar
Author	Puhr, Claus Hasan, Maher
Copyright Year	2011
Abstract	This paper presents a “second-generation” solvency stress testing framework extending applied stress testing work centered on Čihák (2007). The framework seeks enriching stress tests in terms of risk-sensitivity, while keeping them flexible, transparent, and user-friendly. The main contributions include (a) increasing the risk-sensitivity of stress testing by capturing changes in risk-weighted assets (RWAs) under stress, including for non-internal ratings based (IRB) banks (through a quasi-IRB approach); (b) providing stress testers with a comprehensive platform to use satellite models, and to define various assumptions and scenarios; (c) allowing stress testers to run multi-year scenarios (up to five years) for hundreds of banks, depending on the availability of data. The framework uses balance sheet data and is Excel-based with detailed guidance and documentation. 1 This framework benefited from comments by Martin Čihák, Andreas Jobst, Liliana Schumacher, Hiroko Oura, Elena Loukoianova, Joseph Crowley, Aidyn Bibolov, Jay Surti, Heiko Hesse, and Torsten Wezel; as well as the participants of the MCM-EUR seminar. All errors are of the authors. This Working Paper should not be reported as representing the views of the IMF or the Austrian National Bank (OeNB). The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF/OeNB or IMF/OeNB policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate. JEL Classification Numbers: G10, G20, G21
File Format	PDF HTM / HTML
Alternate Webpage(s)	https://www.elibrary.imf.org/doc/IMF001/11773-9781455226054/11773-9781455226054/Other_formats/Source_PDF/11773-9781455224005.pdf
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article