A new paper by a researcher at the IMF proposes a simple methodology for conducting structural market-based top-down macro stress tests and illustrates it using bank data for an advanced emerging market economy.

Top-down macro stress tests have gained in importance with the emphasis on systemic risk assessments, says Jorge Chan-Lau in his paper, Market-Based Structural Top-Down Stress Tests of the Banking System. However, he added, "the data requirements for conducting standard top-down stress