,INTERNATIONAL MONETARY FUND
MONETARY AND CAPITAL MARKETS DEPARTMENT
DEPARTMENTAL PAPER
The Global Bank Stress Test
Prepared by Xiaodan Ding, Marco Gross, Ivo Krznar,
Dimitrios Laliotis, Fabian Lipinsky, Pavel Lukyantsau,
and Thierry Tressel
©International Monetary Fund. Not for Redistribution
,Copyright ©2022 International Monetary Fund
Cataloging-in-Publication Data
IMF Library
Names: Ding, Xiaodan, author. | Gross, Marco, author. | Krznar, Ivo, author. | Laliotis, Dimitrios, author.
| Lipinsky, Fabian, author. | Lukyantsau, Pavel, author. | Tressel, Thierry, author. | International
Monetary Fund. Monetary and Capital Markets Department, issuing body. | International Monetary
Fund, publisher.
Title: The global bank stress test / prepared by Xiaodan Ding, Marco Gross, Ivo Krznar, Dimitrios Laliotis,
Fabian Lipinsky, Pavel Lukyantsau, and Thierry Tressel.
Other titles: Departmental Papers (International Monetary Fund).
Description: Washington, DC : International Monetary Fund, 2022. | April 2022. | DP/2022/009. |
Departmental paper series. | Includes bibliographical references.
Identifiers: ISBN 9798400204524 (paper)
Subjects: LCSH: Banks and baking, International -- Evaluation. | Banks and banking -- Risk management. |
International finance.
Classification: LCC HG3881.D56 2022
The paper was prepared under the guidance of Vikram Haksar and includes earlier inputs from Ibrahim
Ergen and Elizabeth Mahoney and helpful comments from James Morsink and other colleagues at the
IMF.
The Departmental Paper Series presents research by IMF staff on issues of broad regional or cross-
country interest. The views expressed in this paper are those of the author(s) and do not necessarily
represent the views of the IMF, its Executive Board, or IMF management.
Publication orders may be placed online or through the mail:
International Monetary Fund, Publication Services
P.O. Box 92780, Washington, DC 20090, U.S.A.
T. +(1) 202.623.7430
IMFbookstore.org
elibrary.IMF.org
©International Monetary Fund. Not for Redistribution
, IMF DEPARTMENTAL PAPERS • The Global Bank Stress Test iii
Contents
Executive Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . v
Acronyms and Abbreviations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . vii
1. Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
2. How Does the GST Work? . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
3. Global Bank Stress Test—2021/22 Update . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
4. Accounting for Mitigating Policies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
5. Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
Annex 1. The GST Methodology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
Annex 2. Data Used in the GST . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
Annex 3. GST Scenarios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
References. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
BOXES
Box 1. Designing Adverse Scenario in FSAPs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
Box 2. Severe Adverse Scenario . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
Box 3. Corporate Stress Testing: Assessing Mitigating Policy for Corporate Portfolios . . . . . . . . . . . . . . . . . . . . . 16
Box 4. Household Debt: Assessing Mitigating Policies Using a Micro–Macro Simulation Model . . . . . . . . . . . . 17
FIGURES
Figure 1. Capital Ratio Revolution, EMs and AEs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
Figure 2. Global Stress Test Macroeconomic Scenarios. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
Figure 3. GST Results–Baseline and Adverse Scenarios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
Figure 4. Sensitivities of Net Loan Losses to Main Drivers, AEs versus EMs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
Figure 5. GDP Shock and Change in CET1 Ratio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
Figure 6. Distribution of Bank Assets by Capital Ratio under Adverse Scenario . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
TABLES
Table 1. Sample of the GST . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
©International Monetary Fund. Not for Redistribution
MONETARY AND CAPITAL MARKETS DEPARTMENT
DEPARTMENTAL PAPER
The Global Bank Stress Test
Prepared by Xiaodan Ding, Marco Gross, Ivo Krznar,
Dimitrios Laliotis, Fabian Lipinsky, Pavel Lukyantsau,
and Thierry Tressel
©International Monetary Fund. Not for Redistribution
,Copyright ©2022 International Monetary Fund
Cataloging-in-Publication Data
IMF Library
Names: Ding, Xiaodan, author. | Gross, Marco, author. | Krznar, Ivo, author. | Laliotis, Dimitrios, author.
| Lipinsky, Fabian, author. | Lukyantsau, Pavel, author. | Tressel, Thierry, author. | International
Monetary Fund. Monetary and Capital Markets Department, issuing body. | International Monetary
Fund, publisher.
Title: The global bank stress test / prepared by Xiaodan Ding, Marco Gross, Ivo Krznar, Dimitrios Laliotis,
Fabian Lipinsky, Pavel Lukyantsau, and Thierry Tressel.
Other titles: Departmental Papers (International Monetary Fund).
Description: Washington, DC : International Monetary Fund, 2022. | April 2022. | DP/2022/009. |
Departmental paper series. | Includes bibliographical references.
Identifiers: ISBN 9798400204524 (paper)
Subjects: LCSH: Banks and baking, International -- Evaluation. | Banks and banking -- Risk management. |
International finance.
Classification: LCC HG3881.D56 2022
The paper was prepared under the guidance of Vikram Haksar and includes earlier inputs from Ibrahim
Ergen and Elizabeth Mahoney and helpful comments from James Morsink and other colleagues at the
IMF.
The Departmental Paper Series presents research by IMF staff on issues of broad regional or cross-
country interest. The views expressed in this paper are those of the author(s) and do not necessarily
represent the views of the IMF, its Executive Board, or IMF management.
Publication orders may be placed online or through the mail:
International Monetary Fund, Publication Services
P.O. Box 92780, Washington, DC 20090, U.S.A.
T. +(1) 202.623.7430
IMFbookstore.org
elibrary.IMF.org
©International Monetary Fund. Not for Redistribution
, IMF DEPARTMENTAL PAPERS • The Global Bank Stress Test iii
Contents
Executive Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . v
Acronyms and Abbreviations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . vii
1. Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
2. How Does the GST Work? . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
3. Global Bank Stress Test—2021/22 Update . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
4. Accounting for Mitigating Policies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
5. Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
Annex 1. The GST Methodology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
Annex 2. Data Used in the GST . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
Annex 3. GST Scenarios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
References. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
BOXES
Box 1. Designing Adverse Scenario in FSAPs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
Box 2. Severe Adverse Scenario . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
Box 3. Corporate Stress Testing: Assessing Mitigating Policy for Corporate Portfolios . . . . . . . . . . . . . . . . . . . . . 16
Box 4. Household Debt: Assessing Mitigating Policies Using a Micro–Macro Simulation Model . . . . . . . . . . . . 17
FIGURES
Figure 1. Capital Ratio Revolution, EMs and AEs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
Figure 2. Global Stress Test Macroeconomic Scenarios. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
Figure 3. GST Results–Baseline and Adverse Scenarios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
Figure 4. Sensitivities of Net Loan Losses to Main Drivers, AEs versus EMs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
Figure 5. GDP Shock and Change in CET1 Ratio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
Figure 6. Distribution of Bank Assets by Capital Ratio under Adverse Scenario . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
TABLES
Table 1. Sample of the GST . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
©International Monetary Fund. Not for Redistribution
