2021 Financial Sector Assessment Program Review—Background Paper On Quantitative Analysis.

Format:

Book

Government document

Author/Creator:

International Monetary Fund. Monetary and Capital Markets Department.

Series:

Policy Papers; Policy Paper ; No. 2021/041

Policy Papers

Language:

English

Subjects (All):

Monetary policy.

Physical Description:

1 online resource (68 pages).

Other Title:

2021 Financial Sector Assessment Program Review

Place of Publication:

Washington, D.C. : International Monetary Fund, 2021.

Summary:

This paper reviews quantitative tools of financial stability assessments under the Financial Sector Assessment Program (FSAP). A key focus of FSAPs is on methodologies to gauge risks on a system-wide level and propose mitigating measures. Therefore, the paper concentrates on the main elements of the FSAP’s macroprudential stress testing framework:(i) the interaction among solvency, liquidity, and contagion risks in the banking sector, (ii) the assessment of the health of nonbank financial institutions (NBFIs), their interactions with banks and their impact on financial markets, (iii) the assessment of the health of nonfinancial sectors and their links to the financial sector, and (iv) macroprudential policy analysis. The paper also reviews recent improvements in microprudential bank solvency stress testing—an important foundation for the macroprudential stress testing framework—and discusses new tools for emerging risks (climate change, fintech, and cyber).

Notes:

Description based on publisher supplied metadata and other sources.

ISBN:

9781513584454

1513584456