Working Paper

Primer on the Forward-Looking Analysis of Risk Events (FLARE) Model: A Top-Down Stress Test Model

Abstract: This technical note describes the Forward-Looking Analysis of Risk Events (FLARE) model, which is a top-down model that helps assess how well the banking system is positioned to weather exogenous macroeconomic shocks. FLARE estimates banking system capital under varying macroeconomic scenarios, time horizons, and other systemic shocks.

Keywords: Bank capital; Stress testing; Comprehensive capital analysis and review (CCAR); Dodd-Frank Act stress tests (DFAST); Financial stability and risk;

JEL Classification: G18; G21; G28;

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Bibliographic Information

Provider: Board of Governors of the Federal Reserve System (U.S.)

Part of Series: Finance and Economics Discussion Series

Publication Date: 2020-02-13

Number: 2020-015

Note: On February 14, 2020, this paper was updated to include additional acknowledgements.