Sovereign Risk in Macroprudential Solvency Stress Testing

Sovereign Risk in Macroprudential Solvency Stress Testing
This paper explains the treatment of sovereign risk in macroprudential solvency stress testing, based on the experiences in the Financial Sector Assessment Program (FSAP). We discuss four essential steps in assessing the system-wide impact of sovereign risk: scope, loss estimation, shock calibration, and capital impact calculation. Most... READ MORE...

Publication date: December 2019
ISBN 9781513519968
$18.00

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