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1、WP/13/178CredibilityandCrisisStressTestingLiLianOngandCeylaPazarbasioglu©2013InternationalMonetaryFundWP/13/178IMFWorkingPaperMonetaryandCapitalMarketsDepartmentCredibilityandCrisisStressTestingPreparedbyLiLianOngandCeylaPazarbasioglu1AuthorizedfordistributionbyCeyl
2、aPazarbasiogluAugust2013ThisWorkingPapershouldnotbereportedasrepresentingtheviewsoftheIMF.TheviewsexpressedinthisWorkingPaperarethoseoftheauthor(s)anddonotnecessarilyrepresentthoseoftheIMForIMFpolicy.WorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublish
3、edtoelicitcommentsandtofurtherdebate.AbstractCredibilityisthebedrockofanycrisisstresstest.TheuseofstressteststomanagesystemicriskwasintroducedbytheU.S.authoritiesin2009intheformoftheSupervisoryCapitalAssessmentProgram.Sincethen,supervisoryauthoritiesinotherjurisdict
4、ionshavealsoconductedsimilarexercises.Insomeofthosecases,thedesignandimplementationofcertainelementsoftheframeworkhavebeencriticizedfortheirlackofcredibility.Thispaperproposesasetofguidelinesforconstructinganeffectivecrisisstresstest.Itcombinesfinancialmarketsimpact
5、studiesofpreviousexerciseswithrelevantcasestudyinformationgleanedfromthoseexperiencestoidentifythekeyelementsandtoformulatetheirappropriatedesign.Pertinentconcepts,issuesandnuancesparticulartocrisisstresstestingarealsodiscussed.Thefindingsmaybeusefulforcountryauthor
6、itiesseekingtoincludestresstestsintheircrisismanagementarsenal,aswellasforthedesignofcrisisprograms.JELClassificationNumbers:C58,C93,F3,G21,G32.Keywords:Assetqualityreview,crisis,disclosure,financialbackstop,hurdlerates,liquidityrisk,restructuring,solvency,transpare
7、ncy,CCAR,CEBS,EBA,PCAR,SCAP.Author’sE-MailAddresses:long@imf.org;cpazarbasioglu@imf.org.1WewouldliketothankFrancescoColumba,PiersHaben,DanielHardy,HeikoHesse,EmanuelKopp,ToshitakeKurosawa,CarolineLiesegang,LusineLusinyan,DermotMonaghan,MarinaMoretti,MohamedNorat,Ant
8、onioPancorbo,AlvaroPiris,TilSchuermann,LilianaSchumacherandtheIrishandSpanishauthoritiesfortheirusefulcomments,andJoaquinGutierrezforhisin
