| 来源类型 | Working Paper |
| 规范类型 | 论文 |
| Policy uncertainty, financial stability, and stress testing | |
| Paul H. Kupiec | |
| 发表日期 | 2019-04-02 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | Abstract Since the 2009 Supervisory Capital Assessment Program (SCAP), US regulators have employed a representative bank model as the benchmark of comparison in mandatory stress test exercises. For risk management functions, a bank’s own stress model must be calibrated to reflect the bank’s historical performance. I analyze stress test forecasts produced by individual bank and a representative bank stress test models. Each model is calibrated using different data, but an identical statistical approach similar to the Fed’s 2009 SCAP CLASS model. I compare stress test forecasts to actual institution performance over the first 3 years of the financial crisis. Forecasts from the representative bank model differ dramatically from those produced by bank specific models and actual outcomes. The results highlight the policy uncertainty inherent in using stress tests, both to set minimum bank capital requirements and to assess the capital adequacy needed to maintain banking system stability. Read the full PDF here. |
| 主题 | Economics |
| 标签 | banking ; financial stability |
| URL | https://www.aei.org/research-products/working-paper/policy-uncertainty-financial-stability-and-stress-testing/ |
| 来源智库 | American Enterprise Institute (United States) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/207405 |
| 推荐引用方式 GB/T 7714 | Paul H. Kupiec. Policy uncertainty, financial stability, and stress testing. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| WP-2019-08-Kupiec.pd（739KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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