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International Monetary Fund
Stress testing (ST) was undertaken as part of the Guernsey Financial sector assessment Program (FSAP) Update in order to assess the resilience of the Guernsey financial system to a variety of potential strains. The approach taken was a simulation of the effect of a potential double-dip recession on solvency of Guernsey banks and insurance companies. The STs assess the sensitivity of banks and insurance companies to single-factor shocks to risk types affecting solvency and liquidity position of institutions. The mission recommends that future STs should be risk-based and that macroprudential analysis should be run on a regular basis.
International Monetary Fund. African Dept.

Credit Risk Analysis C. Concentration Risk Analysis D. Direct Interest Rate Risk E. Direct Foreign Exchange Risk F. Equity Price Analysis G. Multi-Factor Analysis V. Liquidity Risk VI. Network Analysis and Contagion Risk A. The Interbank Network Analysis B. Contagion Analysis—Interbank Market VII. Conclusions References Tables 1. Banks Participating in the Bottom-Up Stress Testing 2. Bank Exposure to Selected Sectors, August 2012 3. Liquidity Risk Scenario 4. Implied Cash Flow Test (5 days) 5. Implied Cash Flow Test (30 days) 6

International Monetary Fund. Monetary and Capital Markets Department

. Sensitivity Analysis, Debt at Risk 23. Corporate Probability of Defaults 24. Projection of Credit Risk Parameters under Baseline and Adverse Scenarios 25. Loan Loss Provision of Local D-SIBs: Adverse Scenario 2 26. Bank Solvency Stress Test Results 27. Tier 1 Ratio after Concentration Risk Analysis 28. Impact of Fintech Disruption on Total Capital Adequacy Ratio 29. Total Capital Adequacy Ratio 30. Cashflow-based Stress Test Results 31. Cross-subsidized Liquidity 32. Analysis of D-SIBs’ Net Stable Funding Ratios (NSFRs) 33. Analysis of Concentration of

International Monetary Fund. Monetary and Capital Markets Department

comprehensive income). Stress test results should be interpreted with caution, as the macroeconomic outlook remains subject to substantial uncertainty, and credit risks may evolve differently in the current environment from what is implied by historical patterns ( Figure 14 ). Sensitivity analyses of real estate, and sovereign spreads and portfolio concentrations highlight further loss potential in a worsening environment. Concentration risk analysis reveals that the combined default of banks’ five largest private sector exposures as of December 2020 could erode up to 10

International Monetary Fund

.4. 48. Using FI’s concentration risk analysis, consistency with an AAA rating would suggest that the Fund would cover the loans of the 9 largest ‘BB- or below’ rated debtors. 23 The illustration indicates that if the Fund were to borrow from capital markets, it would need the equivalent of available capital of at least SDR 60 billion to obtain an AAA rating (see Table 2 ) or about 85 percent of its total credit outstanding. Table 2. Concentration Analysis Amounts In billions of SDRs /1 In percent of total GRA credit Brazil 23

Mr. Rudy Wytenburg, Mr. Robin V Darbyshire, and Ms. Anjeza Beja

. Central banks may either show a breakdown of the securities by classification or grouped as they are shown in the balance sheet, hence foreign and domestic. Some central banks do not disclose a geographical concentration risk analysis for liabilities, but instead focus only on the credit risk analysis of the geographical concentration. Both approaches are acceptable considering the nature of central banks activities and the relevance of the information, unless a significant event has happened. Care should be taken to limit the value contained under the category of

International Monetary Fund. African Dept.
To assess the financial stability in Nigeria, various stress tests and analytic processes were undertaken jointly by the Nigerian authorities and the Financial Sector Assessment Program (FSAP) team. The exercise included macroeconomic scenario analysis and its transmission into a range of single- and multifactor shocks. The tests covered the entire Nigerian banking system and looked at the short-term horizon, in part because of data constraints. Sensitivity stress tests estimated the impact of changes in individual variables on banks’ portfolios.
International Monetary Fund. Monetary and Capital Markets Department
The economy recovered strongly in 2021, following an unprecedented real output contraction in 2020. However, the outlook remains precarious amidst projected future low growth, high unemployment and adverse debt dynamics, and the recovery pace is unlikely to be sustained. Ample buffers allowed the financial system to handle the COVID-19 shock relatively well, but domestic and external downside risks remain substantial—with potential implications for asset quality, profitability, and solvency.
International Monetary Fund

percent. C4: 10 percent of banks’ domestic non-interbank loan portfolio fails C5: 10 percent of banks’ mortgage loan portfolio fails. C6: 10 percent of banks’ U.K. non-interbank loan portfolio fails. 1/ Test C3 and C7 are part of the concentration risk analysis further outlined below. 35. The TD tests were constructed along the line of the BU tests, but with the flexibility to add additional dimensions that can (or have) not readily been investigated by the banks in the BU exercises . In the basic TD STs displayed in Table 4 , it has been assumed that the