The past and future of supervisory stress testing design: remarks at the 2018 Federal Reserve Stress Testing Research Conference, Federal Reserve Bank of Boston
Abstract: Remarks at the 2018 Federal Reserve Stress Testing Research Conference, Federal Reserve Bank of Boston, Boston.
Keywords: Supervisory Capital Assessment Program (SCAP); Comprehensive Capital Analysis and Review (CCAR); Dodd-Frank Act (DFAST); stress tests; stress test modeling; capital adequacy; balance sheet; first-mover problem; regulatory capital ratios; measurement; walk-through-time approach; shock; Stress Capital Buffer (SCB); design choices; Supervisory Liquidity Analysis and Review (CLAR); supervisory models; pre-provision net revenue (PPNR); model monoculture;
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Provider: Federal Reserve Bank of New York
Part of Series: Speech
Publication Date: 2018-10-09