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Bank Net Interest Margin Forecasting and Capital Adequacy Stress Testing by Machine Learning Techniques

Brummelhuis, Raymond - 2019

stress-test rests on its ability to inform the financial market, which depends on whether or not the market has confidence in … the model-projected asset-losses and incomes for banks. Post-crisis studies found that the stress-test results are … grounds used by the literature to challenge the validity of stress-test. Last, our results from forecast accuracy comparisons …

Persistent link: https://www.econbiz.de/10012897479

The Coordination Role of Stress Tests in Bank Risk Taking

Corona, Carlos - 2019

. Disclosure of stress-test results informs banks of the failure likelihood of other banks, which can reduce welfare by …

Persistent link: https://www.econbiz.de/10012898969

Climate Stress Testing

Acharya, Viral V.; Berner, Richard B.; Engle, Robert F.; … - 2023

We explore the design of climate stress tests to assess and manage macroprudential risks from climate change in the financial sector. We review the climate stress scenarios currently employed by regulators, highlighting the need to (i) consider many transition risks as dynamic policy choices;...

Persistent link: https://www.econbiz.de/10014355670

Enhancing Holistic Understanding : The Prospective Pathway for Climate Stress Testing

Koch, Dr. Benjamin - 2023

Climate change has become a pressing issue that requires comprehensive and scientific understanding of its impact on the economy. Policymakers seek answers to the questions of how climate change affects economic growth, inflation, and the financial system. To design targeted policies, it is...

Persistent link: https://www.econbiz.de/10014355731

Climate Stress Testing

Acharya, Viral V.; Berner, Richard B.; Engle, Robert F.; … - 2023

We explore the design of climate stress tests to assess and manage macro-prudential risks from climate change in the financial sector. We review the climate stress scenarios currently employed by regulators, highlighting the need to (i) consider many transition risks as dynamic policy choices;...

Persistent link: https://www.econbiz.de/10014358374

TRISK - A Climate Stress Test for Transition Risk

Baer, Moritz; Caldecott, Ben; Kastl, Jacob; … - 2022

Climate change has the potential to impact the stability of the financial system. We develop a climate stress test that translates climate transition risks affecting individual firms and economies to shocks affecting the financial system. As part of this, we present a forward-looking risk...

Persistent link: https://www.econbiz.de/10014238199

Stress Testing Spillover Risk in Mutual Funds

Capponi, Agostino; Glasserman, Paul; Weber, Marko - 2022

We develop a framework to quantify the vulnerability of mutual funds to fire-sale spillover losses. We account for the first-mover incentive that results from the mismatch between the liquidity offered to redeeming investors and the liquidity of assets held by the funds. In our framework, the...

Persistent link: https://www.econbiz.de/10014238355

Examination of Bank Failures Requires Systematic and Systemic Stress Tests

Jandacka, Martin; Naik, Vineeth Hari - 2022

Stress tests that do not consider systemic risk may be focused only on the initial risk of insolvency due to loan losses and not on the consequent risk of illiquidity that arise from deleveraging. We examine bank failures to find a larger number of banks failing in a larger number of scenarios...

Persistent link: https://www.econbiz.de/10014239379

Belgium : Technical Note on Stress Testing the Banking and Insurance Sectors

International Monetary Fund / European Dept - 2013

The Belgium Financial Sector Assessment Program (FSAP) stress testing exercise examines a financial sector that remains in a state of transformation. Domestic economic challenges remain sources of continued uncertainty as the banking sector consolidates and reduces funding risks. Insurers face...

Persistent link: https://www.econbiz.de/10014409420

A guide to IMF stress testing : methods and models

Ong, Li Lian (contributor) - 2014

The IMF has had extensive involvement in the stress testing of financial systems in its member countries. This book presents the methods and models that have been developed by IMF staff over the years and that can be applied to the gamut of financial systems. An added resource for readers is the...

Persistent link: https://www.econbiz.de/10014411883