01802cas a2200265 a 4500 AALejournalIMF014469 230101c9999 xx r poo 0 0eng d 5.00 USD 9781498379083 1018-5941 BD-DhAAL BD-DhAAL Hesse, Heiko. How to Capture Macro-Financial Spillover Effects in Stress Tests? / Heiko Hesse, Ferhan Salman, Christian Schmieder. Washington, D.C. : International Monetary Fund, 2014. 1 online resource (34 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students One of the challenges of financial stability analysis and bank stress testing is how to establish scenarios with meaningful macro-financial linkages, id est, taking into account spillover effects and other forms of contagion. We come up with an approach to simulate the potential impact of spillover effects based on the 'traditional' design of macro-economic stress tests. Specifically, we examine spillover effects observed during the financial crisis and simulate their impact on banks' liquidity and capital positions. The outcome suggests that spillover effects have a highly non-linear impact on bank soundness, both in terms of liquidity and solvency. Mode of access: Internet Salman, Ferhan. Schmieder, Christian. IMF Working Papers; Working Paper ; No. 2014/103 Full text available on IMF http://elibrary.imf.org/view/journals/001/2014/103/001.2014.issue-103-en.xml IMF e-Library