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Macroprudential stress testing (MaPST) is becoming firmly embedded in the post-crisis policy-frameworks of financial-sectors around the world. MaPSTs can offer quantitative, forward-looking assessments of the resilience of financial systems as a whole, to particularly adverse shocks. Therefore, they are well suited to support the surveillance of macrofinancial vulnerabilities and to inform the use of macroprudential policy-instruments. This report summarizes the findings of a joint-research effort by MCM and the Systemic-Risk-Centre, which aimed at (i) presenting state-of-the-art approaches on MaPST, including modeling and implementation-challenges; (ii) providing a roadmap for future-research, and; (iii) discussing the potential uses of MaPST to support policy.

Macroeconomics. --- Economics --- Banks and Banking --- Finance: General --- Financial Crises --- Financial Markets and the Macroeconomy --- Bayesian Analysis: General --- Semiparametric and Nonparametric Methods --- Simulation Methods --- Multiple or Simultaneous Equation Models: Cross-Sectional Models --- Spatial Models --- Treatment Effect Models --- Model Evaluation and Selection --- Financial Econometrics --- Optimization Techniques --- Programming Models --- Dynamic Analysis --- Financial Institutions and Services: Government Policy and Regulation --- General Financial Markets: Government Policy and Regulation --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Portfolio Choice --- Investment Decisions --- Finance --- Banking --- Financial services law & regulation --- Stress testing --- Systemic risk --- Asset liquidity --- Countercyclical capital buffers --- Financial sector policy and analysis --- Asset and liability management --- Macroprudential stress testing --- Financial regulation and supervision --- Financial risk management --- Banks and banking --- Liquidity --- Asset requirements --- United Kingdom

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This paper analyzes cross-border macrofinancial spillovers from a variety of macroprudential policy measures, using a range of quantitative methods. Event study and panel regression analyses find that liquidity and sectoral macroprudential policy measures often affect cross-border bank credit, whereas capital measures do not. This empirical evidence is stronger for tightening than for loosening measures, is distributed across credit leakage and reallocation effects, and is generally regionally concentrated. Consistently, structural model based simulation analysis indicates that output and bank credit spillovers from sectoral macroprudential policy shocks are generally small worldwide, but are regionally concentrated and economically significant for countries connected by strong trade or financial linkages. This simulation analysis also indicates that countercyclical capital buffer adjustments have the potential to generate sizeable regional spillovers.

Financial risk management --- Macroeconomics --- Economics --- Risk management --- E-books --- Financial risk management. --- Macroeconomics. --- Banks and Banking --- Money and Monetary Policy --- International Policy Coordination and Transmission --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Financial Institutions and Services: Government Policy and Regulation --- Financial Markets and the Macroeconomy --- Monetary Policy, Central Banking, and the Supply of Money and Credit: General --- International Lending and Debt Problems --- Externalities --- Monetary economics --- Banking --- Macroprudential policy --- Bank credit --- Macroprudential policy instruments --- Cross-border banking --- Spillovers --- Financial sector policy and analysis --- Money --- Financial services --- Economic policy --- Credit --- International finance --- Sweden

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This note describes the key principles for the design and implementation of preemptive CFM/MPMs. These measures should be designed to be effective—so they achieve their intended goal and are not easily circumvented—and efficient—so they minimize distortions and costs. Preemptive CFM/MPMs should be targeted, calibrated to risks, transparent, and as temporary as possible. The appropriate design depends on country circumstances, such as institutional and legal constraints, as well as the precise source of the vulnerability. Where measures that do not discriminate by residency are available and effective, they should be preferred.

Management --- Balance of payments --- Capital flow management --- Capital movements --- Currency --- Economics --- Exports and Imports --- Finance --- Finance: General --- Financial risk management --- Financial sector policy and analysis --- Foreign Exchange --- Foreign exchange --- General Financial Markets: Government Policy and Regulation --- International economics --- International Investment --- Long-term Capital Movements --- Monetary economics --- Monetary Policy --- Monetary policy --- Money and Monetary Policy --- Political Economy --- Political economy --- Systemic risk

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Cyber risk is an emerging source of systemic risk in the financial sector, and possibly a macro-critical risk too. It is therefore important to integrate it into financial sector surveillance. This paper offers a range of analytical approaches to assess and monitor cyber risk to the financial sector, including various approaches to stress testing. The paper illustrates these techniques by applying them to Singapore. As an advanced economy with a complex financial system and rapid adoption of fintech, Singapore serves as a good case study. We place our results in the context of recent cybersecurity developments in the public and private sectors, which can be a reference for surveillance work.

Singapore --- Banks and Banking --- Finance: General --- Online Safety & Privacy --- Industries: Financial Services --- Financial Markets and the Macroeconomy --- Financial Crises --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Insurance --- Insurance Companies --- Actuarial Studies --- Financial Institutions and Services: Government Policy and Regulation --- Financing Policy --- Financial Risk and Risk Management --- Capital and Ownership Structure --- Value of Firms --- Goodwill --- General Financial Markets: Government Policy and Regulation --- Pension Funds --- Non-bank Financial Institutions --- Financial Instruments --- Institutional Investors --- Computer security --- Finance --- Banking --- Cyber risk --- Stress testing --- Systemic risk --- Financial sector risk --- Technology --- Financial sector policy and analysis --- Insurance companies --- Financial institutions --- Information technology --- Security measures --- Financial risk management --- Banks and banking