IMF-法国：金融部门评估计划系统风险分析技术说明（英）

© 2025 International Monetary Fund FRANCE IMF Country Report No. 25/241 August 2025 FINANCIAL SECTOR ASSESSMENT PROGRAM TECHNICAL NOTE ON SYSTEMIC RISK ANALYSIS This paper on France 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 31, 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 Price: $18.00 per printed copy International Monetary Fund Washington, D.C. FRANCE FINANCIAL SECTOR ASSESSMENT PROGRAM TECHNICAL NOTE SYSTEMIC RISK ANALYSIS Prepared By Monetary and Capital Markets Department This Technical Note was prepared by IMF staff in the context of the Financial Sector Assessment Program in France. It contains technical analysis and detailed information underpinning the FSAP’s findings and recommendations. Further information on the FSAP can be found at http://www.imf.org/external/np/fsap/fssa.aspx July 31, 2025 FRANCE 2 INTERNATIONAL MONETARY FUND CONTENTS Glossary __________________________________________________________________________________________ 6 EXECUTIVE SUMMARY __________________________________________________________________________ 8 MACROFINANCIAL BACKGROUND ____________________________________________________________ 11 A. Macro-Financial Landscape and Trends ______________________________________________________ 11 B. Banking System Structure and Performance __________________________________________________ 15 C. Investment Fund Industry Structure and Recent Developments ______________________________ 19 D. Scope of the Systemic Risk Analysis and Scenarios ___________________________________________ 25 SOLVENCY STRESS TESTS OF BANKS __________________________________________________________ 27 A. Stress Testing Approach and Macro-Financial Scenarios _____________________________________ 27 B. Credit Risk Modelling and RWAs _____________________________________________________________ 32 C. Net Interest Income (NII) Modelling __________________________________________________________ 40 D. Market Risk Modelling________________________________________________________________________ 44 E. Net Fees and Commission Income ___________________________________________________________ 45 F. Other Profit and Loss Items ___________________________________________________________________ 47 G. Solvency Stress Test Results __________________________________________________________________ 48 H. Special Topic: Use of Solvency Stress Tests for Calibration of CCYB __________________________ 54 SPECIAL TOPICS: STRESS TESTS OF NON-FINANCIAL PRIVATE SECTORS ___________________ 58 A. General Approach ____________________________________________________________________________ 58 B. Stress Tests of Non-Financial Corpora