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Introduction to applied stress testing
Čihák, Martin (Author)

URLURL - Presentation file, Visit http://www.imf.org/external/pubs/ft/wp/2007/wp0759.pdf New window

Abstract
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 illustratetheir strengths and weaknesses. Using an Excel-based exercise with institution-by-institution data, readers are walked through stress testing forcredit 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.

Language:English
Keywords:finančni sistemi, obvladovanje tveganj, tveganje, krediti, obrestna mera, likvidnost, testiranje, indikatorji, ekonometrija, modeli, financial systems, risk management, risk, credit, interest rate, liquidity, testing, indicators, econometrics, models
Work type:Not categorized (r6)
Organization:EF - Faculty of Economics
Year:2007
Publisher:International Monetary Fund
Number of pages:74 str.
Place:Washington
UDC:336
COBISS.SI-ID:17266662 Link is opened in a new window
Views:698
Downloads:125
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