Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks
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Summary:
Macroprudential stress testing (MaPST) is becoming firmly embedded in the post-crisis policy-frameworks of financial-sectors around the world. MaPSTs can offer quantitative, forward-looking assessments of the resilience of financial systems as a whole, to particularly adverse shocks. Therefore, they are well suited to support the surveillance of macrofinancial vulnerabilities and to inform the use of macroprudential policy-instruments. This report summarizes the findings of a joint-research effort by MCM and the Systemic-Risk-Centre, which aimed at (i) presenting state-of-the-art approaches on MaPST, including modeling and implementation-challenges; (ii) providing a roadmap for future-research, and; (iii) discussing the potential uses of MaPST to support policy.
Series:
Working Paper No. 2018/197
Subject:
Asset and liability management Asset liquidity Banking Countercyclical capital buffers Financial regulation and supervision Financial sector policy and analysis Macroprudential stress testing Stress testing Systemic risk
English
Publication Date:
September 11, 2018
ISBN/ISSN:
9781484375839/1018-5941
Stock No:
WPIEA2018197
Pages:
79
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