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Conference Paper
A framework for more effective stress testing
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.
Conference Paper
Remarks on risk measurement and systemic risk
Working Paper
The financial stress index: identification of systemic risk conditions
This paper develops a financial stress index for the United States, the Cleveland Financial Stress Index (CFSI), which provides a continuous signal of financial stress and broad coverage of the areas that could indicate it. The index is based on daily public-market data collected from four sectors of the fi nancial markets?the credit, foreign exchange, equity, and interbank markets. A dynamic weighting method is employed to capture changes in the relative importance of these four sectors as they occur. In addition, the design of the index allows the origin of the stress to be identified. We ...
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
Stress testing and bank capital supervision
Stress testing was a potent tool in the supervision of bank capital during the financial crisis. Stress tests can enhance supervision of bank capital by providing a more forward-looking and flexible process for assessing risks that might not be fully captured by risk-based capital standards. The level and quality of capital among large banking organizations has increased notably since the introduction of stress tests during the financial crisis.
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.
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
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