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Journal Article
Bank capital requirements for market risk: the internal models approach
Hendricks, Darryll; Hirtle, Beverly (1997-12)
The increases prominence of trading activities at many large banking companies has highlighted bank exposure to market risk-the risk of loss from adverse movements in financial market rates and prices. In response, bank supervisors in the United States and abroad have developed a new set of capital requirements to ensure that banks have adequate capital resources to address market risk. This paper offers an overview of the new requirements, giving particular attention to their most innovative feature: a capital charge calculated for each bank using the output of that bank's internal risk ...
Economic Policy Review , Volume 3 , Issue Dec , Pages 1-12

Report
Supervisory stress tests
Lehnert, Andreas; Hirtle, Beverly (2014-11-01)
This article describes the background, design choices and particular details of stress tests used as part of an overall supervisory regime; that is, their formal integration into the process of the ongoing prudential supervision of banks and other large financial institutions. We then describe how the U.S. CCAR/DFAST regime is designed and what that means for the macroprudential vs. microprudential nature of the U.S. exercises. We argue routine stress tests have the potential to substantially change the nature of the supervisory process. In addition, we argue that a great deal depends on the ...
Staff Reports , Paper 696

Journal Article
The role of retail banking in the U.S. banking industry: risk, return, and industry structure
Williams, Robard; Hirtle, Beverly; Stiroh, Kevin J.; Clark, Timothy; Dick, Astrid A. (2007-12)
The U.S. banking industry is experiencing a renewed interest in retail banking, broadly defined as the range of products and services provided to consumers and small businesses. This article documents the ?return to retail? in the U.S. banking industry and offers some insight into why the shift has occurred. At the bank level, the principal attraction of retail banking seems to be the belief that its revenues are stable and thus can offset volatility in nonretail businesses. At the industry level, the authors show that interest in retail activities fluctuates in rather predictable ways with ...
Economic Policy Review , Volume 13 , Issue Dec , Pages 39-56

Discussion Paper
Are BHCs Mimicking the Fed's Stress Test Results?
Kovner, Anna; Hirtle, Beverly; Deng, Angela (2015-09-21)
In March, the Federal Reserve and thirty-one large bank holding companies (BHCs) disclosed their annual Dodd-Frank Act stress test (DFAST) results. This is the third year in which both the BHCs and the Fed have published their projections. In a previous post, we looked at whether the Fed’s and the BHCs’ stress test results are converging in the aggregate and found mixed results. In this post, we look at stress test projections made by individual BHCs. If the Fed’s projections are very different from a BHC’s in one year, do the BHC projections change in the following year to close this ...
Liberty Street Economics , Paper 20150921

Report
The return to retail and the performance of U.S. banks
Hirtle, Beverly; Stiroh, Kevin J. (2005)
The U.S. banking industry is experiencing a renewed focus on retail banking, a trend often attributed to the stability and profitability of retail activities. This paper examines the impact of banks' retail intensity on performance from 1997 to 2004 by developing three complementary definitions of retail intensity (retail loan share, retail deposit share, and branches per dollar of assets) and comparing these measures with both equity market and accounting measures of performance. We find that an increased focus on retail banking across U.S. banks is linked to significantly lower equity ...
Staff Reports , Paper 233

Journal Article
What market risk capital reporting tells us about bank risk
Hirtle, Beverly (2003-09)
This paper was presented at the conference "Economic Statistics: New Needs for the Twenty-First Century," cosponsored by the Federal Reserve Bank of New York, the Conference on Research in Income and Wealth, and the National Association for Business Economics, July 11, 2002. In recent years, financial market supervisors and the financial services industry have increasingly emphasized the role of public disclosure in ensuring the efficient and prudent operation of financial institutions. This article examines the market risk capital figures reported to bank regulators by U.S. bank holding ...
Economic Policy Review , Issue Sep , Pages 37-54

Report
The implicit liabilities of the Pension Benefit Guaranty Corporation
Hirtle, Beverly; Estrella, Arturo (1989)
Research Paper , Paper 8905

Discussion Paper
CCAR: More than a Stress Test
Hirtle, Beverly (2012-07-02)
The Federal Reserve recently released the results of its latest stress test of large bank holding companies (BHCs). While the stress test results have received a lot of attention, they are just one part of a much larger effort by the Federal Reserve to ensure that these large BHCs have robust processes for determining how much capital they need to maintain access to funding and continue to serve as credit intermediaries, even under stressed conditions. In this post, I describe these larger efforts and the role that the stress test plays in them.
Liberty Street Economics , Paper 20120702

Discussion Paper
Comparing Bank and Supervisory Stress Testing Projections
Kovner, Anna; Hirtle, Beverly (2014-01-08)
Stress tests are important tools for assessing whether financial institutions have enough capital to operate in bad economic conditions. In addition to being useful for understanding capital weaknesses at individual firms, coordinated stress tests can also provide insight into the vulnerabilities facing the banking industry as a whole. In this post, we look at 2013 stress test projections made by eighteen large U.S. bank holding companies under the requirements of the Dodd-Frank Wall Street Reform and Consumer Protection Act and compare them with supervisory projections made by the Federal ...
Liberty Street Economics , Paper 20140108

Report
Default and liquidity risk in the junk bond market
Hirtle, Beverly (1988)
Research Paper , Paper 8816

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