IMF-欧元区：发布金融部门评估计划文件——关于银行业压力测试的技术说明（英）

© 2025 International Monetary Fund IMF Country Report No. 25/210 EURO AREA PUBLICATION OF FINANCIAL SECTOR ASSESSMENT PROGRAM DOCUMENTATION—TECHNICAL NOTE ON STRESS TESTING THE BANKING SECTOR This paper on Stress Testing the Banking Sector was prepared by a staff team of the International Monetary Fund. It is based on the information available at the time it was completed on July 3, 2025. Copies of this report are available to the public from International Monetary Fund • Publication Services PO Box 92780 • Washington, D.C. 20090 Telephone: (202) 623-7430 • Fax: (202) 623-7201 E-mail: publications@imf.org Web: http://www.imf.org International Monetary Fund Washington, D.C. July 2025 EURO AREA FINANCIAL SECTOR ASSESSMENT PROGRAM TECHNICAL NOTE STRESS TESTING THE BANKING SECTOR Prepared By Monetary and Capital Markets Department This Technical Note was prepared in the context of the Financial Sector Assessment Program (FSAP) in the euro area. It contains the technical analysis and detailed information underpinning the FSAP findings and recommendations. Further information on the FSAP program can be found at http://www.imf.org/external/np/fsap/fssa.aspx July 3, 2025 EURO AREA 2 INTERNATIONAL MONETARY FUND CONTENTS Glossary __________________________________________________________________________________________ 5 EXECUTIVE SUMMARY __________________________________________________________________________ 8 INTRODUCTION ________________________________________________________________________________ 12 A. Macrofinancial Context _______________________________________________________________________ 12 B. Financial Risks and Vulnerabilities _____________________________________________________________ 14 C. FSAP Stress Testing Strategy __________________________________________________________________ 15 SOLVENCY STRESS TEST _______________________________________________________________________ 17 A. Key Elements of the Stress Test _______________________________________________________________ 17 B. Scenarios ______________________________________________________________________________________ 18 C. Household Vulnerability Assessment _________________________________________________________ 20 D. Credit Risk Models ____________________________________________________________________________ 21 E. Market Risk Approach _________________________________________________________________________ 26 F. Net Interest Income ___________________________________________________________________________ 28 G. Net Fee and Commission Income _____________________________________________________________ 32 H. Other Profit and Loss Items ___________________________________________________________________ 34 I. Solvency Stress Test Results ___________________________________________________________________ 35 J. Recommendations ____________________________________________________________________________ 41 LIQUIDITY STRESS TEST ___