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Journal Article
Federal Reserve: Putting banks to the stress test: Will banks be ready for the next crisis? Stress tests aim to find out
Related Links: https://www.richmondfed.org/-/media/richmondfedorg/publications/research/econ_focus/2012/q4/federal_reserve_weblinks.cfm
Journal Article
Fed chair Bernanke on the lessons of SCAP \"Stress tests\"
At the Atlanta Fed's Financial Markets Conference, Federal Reserve Board Chairman Ben Bernanke detailed how the federal banking supervisory agencies assessed the health of the nation's 19 largest banking companies.
Journal Article
Recent Federal Reserve actions include expansion of loan program, release of banks' \"stress test\" results
The Fed recently broadened a program intended to stimulate bank lending and released the results of recent tests of the financial conditions of the 19 largest U.S. bank holding companies.
Working Paper
A coherent framework for stress-testing
In recent months and years both practitioners and regulators have embraced the ideal of supplementing VaR estimates with "stress-testing". Risk managers are beginning to place an emphasis and expend resources on developing more and better stress-tests. In the present paper, we hold the standard approach to stress-testing up to a critical light. The current practice is to stress-test outside the basic risk model. Such an approach yields two sets of forecasts -- one from the stress-tests and one from the basic model. The stress scenarios, conducted outside the model, are never explicitly ...
Journal Article
Stress tests: useful complements to financial risk models
Many supervisory agencies have begun using stress-testing techniques to assess the capital adequacy of individual firms and even national financial systems. In this Economic Letter, I define stress testing, describe its possible applications, highlight certain techniques developed to conduct this testing, and survey its recent use by supervisory agencies.
Journal Article
An international survey of stress tests
In the summer of 2000, central banks from the Group of Ten countries surveyed large international banks about their use of stress tests_a risk management tool that measures a firm's exposure to extreme movements in asset prices. The survey findings highlight the risks that most concern financial institutions and clarify how these institutions use stress tests in their overall risk management programs.
Report
The information value of the stress test and bank opacity
We investigate whether the ?stress test,? the extraordinary examination of the nineteen largest U.S. bank holding companies conducted by federal bank supervisors in 2009, produced the information demanded by the market. Using standard event study techniques, we find that the market had largely deciphered on its own which banks would have capital gaps before the stress test results were revealed, but that the market was informed by the size of the gap; given our proxy for the expected gap, banks with larger capital gaps experienced more negative abnormal returns. Our findings suggest that the ...
Working Paper
Credit ratings and bank monitoring ability
In this paper we use credit rating data from two large Swedish banks to elicit evidence on banks? loan monitoring ability. For these banks, our tests reveal that banks? credit ratings indeed include valuable private information from monitoring, as theory suggests. However, our tests also reveal that publicly available information from a credit bureau is not efficiently impounded in the bank ratings: The credit bureau ratings not only predict future movements in the bank ratings but also improve forecasts of bankruptcy and loan default. We investigate possible explanations for these findings. ...
Journal Article
Disentangling diverse measures: a survey of financial stress indexes
The recent financial crisis helped emphasize the need for measures of financial conditions. In the wake of the crisis, several researchers and institutions?both private sector and central bank?developed measures of financial stress. These measures are intended to capture, among other things, the liquidity in financial markets and potentially forecast changes in real economic conditions. Unfortunately, there is no agreement about which variables should be included in a measure of stress. The authors survey a number of financial stress indexes, comparing the datasets from which they are ...