Cover IMF Staff Country Reports
Buy Book in Print
Kingdom of the Netherlands-The Netherlands: Financial Sector Assessment Program- Technical Note on Systemic Risk Analysis
Author:
International Monetary Fund. Monetary and Capital Markets Department
Search for other papers by International Monetary Fund. Monetary and Capital Markets Department in
Current site
Google Scholar Close
Series:
IMF Staff Country Reports
Volume/Issue:
Volume 2024: Issue 174
Language:
English
Publication Date:
18 Jun 2024
DOI:
https://doi.org/10.5089/9798400280221.002
ISBN:
9798400280221
ISSN:
1934-7685
Pages:
105
Keywords:
solvency-liquidity analysis; insurance solvency stress test; pension fund liquidity risk analysis; coverage ratio; Si liquidity stress test; pension fund solvency analysis; Mortgages; Stress testing; Loans; Housing prices; Pension spending; Global; Europe
Download PDF (5.9 MB) Download Epub
This paper presents a technical note on systemic risk analysis in The Netherlands. The banking sector appears resilient to adverse macrofinancial shocks assuming no policy reactions, but some vulnerabilities exist. The insurance solvency stress test evidenced a broad resilience of the Dutch insurance sector, particularly for property & casualty and health insurers, while vulnerabilities exist for some life insurers. The Financial Sector Assessment Program (FSAP) team also carried out an analysis of household and corporate sector resilience, and of the commercial real estate market. Life insurers are broadly resilient to liquidity shocks despite large interest rate swap positions. Assuming a euro interest rate increase of 100 basis points, margin calls are sizable, but the sampled entities apply heterogenous strategies and draw on a variety of different sources for their liquidity, including cash and deposits, uncommitted repo facilities, and the sale of money-market funds. The FSAP recommendations aim to address observed gaps and further strengthen the Netherlands’ systemic risk analysis framework.
  • Collapse
  • Expand
Cover IMF Staff Country Reports
IMF Staff Country Reports
ISSN:
1934-7685
Publisher:
International Monetary Fund