Sovereign Risk in Macroprudential Solvency Stress Testing /

Sovereign Risk in Macroprudential Solvency Stress Testing /

This paper explains the treatment of sovereign risk in macroprudential solvency stress testing, based on the experiences in the Financial Sector Assessment Program (FSAP). We discuss four essential steps in assessing the system-wide impact of sovereign risk: scope, loss estimation, shock calibration...

Fuld beskrivelse

Bibliografiske detaljer
Hovedforfatter:	Jobst, Andreas A.
Andre forfattere:	Oura, Hiroko
Format:	Tidsskrift
Sprog:	English
Udgivet:	Washington, D.C. : International Monetary Fund, 2019.
Serier:	IMF Working Papers; Working Paper ; No. 2019/266
Online adgang:	Full text available on IMF

Lignende værker

Macroprudential Solvency Stress Testing of the Insurance Sector /
af: Jobst, Andreas A.
Udgivet: (2014)

A Framework for Macroprudential Bank Solvency Stress Testing : Application to S-25 and Other G-20 Country FSAPs /
af: Jobst, Andreas A.
Udgivet: (2013)

The Nature of Islamic Banking and Solvency Stress Testing : Conceptual Considerations /
af: Jobst, Andreas A.
Udgivet: (2020)

Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems /
af: Jobst, Andreas A.
Udgivet: (2017)

Rules of Thumb for Bank Solvency Stress Testing /
af: Hardy, Daniel
Udgivet: (2013)

Macroprudential Stress Tests : A Reduced-Form Approach to Quantifying Systemic Risk Losses /
af: Alla, Zineddine
Udgivet: (2018)

Integrating Solvency and Liquidity Stress Tests : The Use of Markov Regime-Switching Models /
af: Han, Fei
Udgivet: (2019)

Towards Macroprudential Stress Testing : Incorporating Macro-Feedback Effects /
af: Krznar, Ivo
Udgivet: (2017)

Macroprudential Stress Tests and Policies : Searching for Robust and Implementable Frameworks /
af: Anderson, Ron
Udgivet: (2018)

Stress Testing and Calibration of Macroprudential Policy Tools /
af: Gornicka, Lucyna
Udgivet: (2020)

Designing Effective Macroprudential Stress Tests : Progress So Far and the Way Forward /
af: Demekas, Dimitri
Udgivet: (2015)

Stress Testing and Risk Integration in Banks
af: Bellini, Tiziano
Udgivet: (2017)

Stress Testing and Risk Integration in Banks
af: Bellini, Tiziano
Udgivet: (2017)

Intertwined Sovereign and Bank Solvencies in a Model of Self-Fulfilling Crisis /
af: Adler, Gustavo
Udgivet: (2012)

From Banking to Sovereign Stress : Implications For Public Debt.
Udgivet: (2014)

Liquidity at Risk : Joint Stress Testing of Solvency and Liquidity /
af: Cont, Rama
Udgivet: (2020)

Identifying Threshold Effects in Credit Risk Stress Testing /
af: Mendez Morales, Armando
Udgivet: (2004)

Stress Testing for Risk Control Under Basel II
af: Dimitris N. Chorafas
Udgivet: (2007)

Stress Testing for Risk Control Under Basel II
af: Dimitris N. Chorafas
Udgivet: (2007)

Stress Testing at the IMF /
af: Swinburne, Mark
Udgivet: (2008)

Stress Testing at the IMF /
af: Adrian, Tobias
Udgivet: (2020)

Bottom-Up Default Analysis of Corporate Solvency Risk : An Application to Latin America /
af: Chan-Lau, Jorge
Udgivet: (2017)

On the Solvency of Nations : Are Global Imbalances Consistent with Intertemporal Budget Constraints? /
af: Mendoza, Enrique
Udgivet: (2010)

Operational Risk : The Sting is Still in the Tail But the Poison Dependson the Dose /
af: Jobst, Andreas
Udgivet: (2007)

Bank Solvency and Funding Cost /
af: Aymanns, Christoph
Udgivet: (2016)

Sovereign Risk and Bank Risk-Taking /
af: Ari, Anil
Udgivet: (2017)

Climate-Related Stress Testing : Transition Risk in Colombia /
af: Sever, Can
Udgivet: (2021)

Macrofinancial Stress Testing : Principles and Practices.
Udgivet: (2012)

Credibility and Crisis Stress Testing /
af: Ong, Li
Udgivet: (2013)

Introduction to Applied Stress Testing /
af: Cihak, Martin
Udgivet: (2007)

Stress Testing Financial Systems /
af: Jones, Matthew
Udgivet: (2004)

The Global Bank Stress Test /
af: Ding, Xiaodan
Udgivet: (2022)

Measuring Systemic Risk-Adjusted Liquidity (SRL) : A Model Approach /
af: Jobst, Andreas
Udgivet: (2012)

Accounting Standards and Insurer Solvency Assessment /
af: Windsor, Peter
Udgivet: (2020)

Macroprudential Regulation and Sector-Specific Default Risk /
af: Belkhir, Mohamed
Udgivet: (2022)

International Evidenceon Fiscal Solvency : Is Fiscal Policy "Responsible"? /
af: Mendoza, Enrique
Udgivet: (2007)

A New Risk Indicator and Stress Testing Tool : A Multifactor Nth-to-Default CDS Basket /
af: Avesani, Renzo
Udgivet: (2006)

Macrofinancial Stress Testing : Principles and Practices-Background Material.
Udgivet: (2012)

Consistent Quantitative Operational Risk Measurement and Regulation : Challenges of Model Specification, Data Collection and Loss Reporting /
af: Jobst, Andreas
Udgivet: (2007)

Bank Solvency and Funding Cost : New Data and New Results /
af: Schmitz, Stefan
Udgivet: (2017)