Maldives: Financial Sector Assessment Program-Technical Note on Bank Stress Testing and Climate Risk Analysis

Author: International Monetary Fund. Monetary and Capital Markets Department

Technical Note on Bank Stress Testing and Climate Risk Analysis

Volume/Issue: Volume 2024 Issue 019

Publication date: January 2024

ISBN: 9798400265990

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Topics covered in this book

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Banks and Banking , Finance , Money and Monetary Policy , International - Economics , Environmental Economics , summary market Risk sensitivity analysis result , market risk sensitivity analysis result , B , liquidity coverage ratio , aggregate capitalization , deposit concentration sensitivity analysis , market Risk sensitivity analysis result , summary solvency Risk result , sensitivity analysis assumption , Stress testing , Nonperforming loans , Loans , Currencies , Commercial banks , Global

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Summary

A systemic vulnerability analysis and stress tests were conducted as part of the Maldives FSAP. The vulnerability analysis and stress tests were based on quarterly aggregate balance sheet supervisory data for the eight banks in Maldives as of December 2022. Identified vulnerabilities were subjected to hypothetical extreme but plausible scenarios that were informed by the Risk Assessment Matrix. Risks analyzed were credit risk, liquidity risk and market risk. Credit risks materialized as non-performing loans and pressure on pre-provision income, liquidity risks as deposit outflows, and market risks as changes in interest and exchange rates.