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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.
Conference Paper
A framework for more effective stress testing
Working Paper
Risk aversion, risk premia, and the labor margin with generalized recursive preferences
A flexible labor margin allows households to absorb shocks to asset values with changes in hours worked as well as changes in consumption. This ability to absorb shocks along either or both margins greatly alters the household?s attitudes toward risk, as shown by Swanson (2012). The present paper extends that work to the case of generalized recursive preferences, as in Epstein and Zin (1989) and Weil (1989), which are increasingly being used to bring macroeconomic models into closer agreement with basic asset pricing facts. Measures of risk aversion commonly used in the literature show no ...
Conference Paper
Remarks on risk measurement and systemic risk
Journal Article
When gauging bank capital adequacy, simplicity beats complexity
It is unclear whether ratio complexity enhances the ability to identify failure and is better than a simpler ratio. But a simpler ratio offers the benefits of greater transparency and accountability.
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.
Conference Paper
Long-run risks and equity Returns
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
Working Paper
Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis
This paper extends the approach of measuring and stress-testing the systemic risk of a banking sector in Huang, Zhou, and Zhu (2009) to identifying various sources of financial instability and to allocating systemic risk to individual financial institutions. The systemic risk measure, defined as the insurance cost to protect against distressed losses in a banking system, is a risk-neutral concept of capital based on publicly available information that can be appropriately aggregated across different subsets. An application of our methodology to a portfolio of twenty-two major banks in Asia ...
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.