Chairman Ben S. Bernanke At the “Maintaining Financial Stability: Holding a Tiger by the Tail” financial markets conference sponsored by the Federal Reserve Bank of Atlanta, Stone Mountain, Georgia April 8, 2013 “…we currently have two distinct but related supervisory programs that rely on stress testing. The first is the stress testing required by the… Continue Reading
Accurate, Focused Research on Law, Technology and Knowledge Discovery Since 2002
Search Results for: stress test
American Banker Commentaries on new Dodd-Frank Stress Test Results
Follow up to Federal Reserve releases summary results of bank stress tests, via American Banker (free to non subscribers): Fed Unveils Dodd-Frank Stress Test Results and Cheat Sheet: What the Dodd-Frank Stress Tests Really Mean. See also related postings on financial system Continue Reading
Federal Reserve releases summary results of bank stress tests
“The Dodd-Frank Act Stress Tests are a set of forward-looking exercises conducted both by the Federal Reserve and by financial companies regulated by the Federal Reserve. The stress tests were mandated by the Dodd-Frank Wall Street Reform and Consumer Protection Act and are intended to ensure institutions have sufficient capital to absorb losses and support… Continue Reading
Federal Reserve Board launches 2013 capital planning and stress testing program
News release: “The Federal Reserve Board on November 9, 2012 launched the 2013 capital planning and stress testing program, issuing instructions to firms with timelines for submissions and general guidelines. The program includes the Comprehensive Capital Analysis and Review (CCAR) of 19 firms as well as the Capital Plan Review (CapPR) of an additional 11… Continue Reading
OCC Community Bank Stress Testing: Supervisory Guidance
“The Office of the Comptroller of the Currency today provided guidance to national banks and federal savings associations with assets of $10 billion or less (community banks) on using stress testing to assess risk in their loan portfolios. The guidance is contained in OCC Bulletin 2012-33, Community Bank Stress Testing: Supervisory Guidance. The OCCs guidance… Continue Reading
A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing
Taleb, Nassim N., Canetti, Elie R.D., Kinda, Tidiane, Loukoianova, Elena and Schmieder, Christian, A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing (August 2012). IMF Working Paper No. 12/216. Available at SSRN “This paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and… Continue Reading
Peer review of supervisory authorities' implementation of stress testing principles
Peer review of supervisory authorities’ implementation of stress testing principles, April 2012 “Stress testing is an important tool used by banks to identify the potential for unexpected adverse outcomes across a range of risks and scenarios. In 2009, the Committee reviewed the performance of stress testing practices during the financial crisis and published recommendations for… Continue Reading
Federal Reserve announces summary results of latest round of bank stress tests
News release: “The Federal Reserve on Tuesday announced summary results of the latest round of bank stress tests, which show that the majority of the largest U.S. banks would continue to meet supervisory expectations for capital adequacy despite large projected losses in an extremely adverse hypothetical economic scenario. The Federal Reserve in the Comprehensive Capital… Continue Reading
Federal Reserve releases paper describing methodology used in 2012 Comprehensive Capital Analysis and Review stress test
News release: “The Federal Reserve on Monday released a paper describing the methodology used in the stress test in the 2012 Comprehensive Capital Analysis and Review (CCAR) as well as the templates for disclosure of the summary results, which will be issued at 4:30 p.m. EDT on Thursday, March 15. The CCAR is a rigorous… Continue Reading
Stress-testing macro stress testing: does it live up to expectations?
Stress-testing macro stress testing: does it live up to expectations? by Claudio Borio, Mathias Drehmann and Kostas Tsatsaronis, BIS Working Papers No 369, January 2012 “We critically review the state of the art in macro stress testing, assessing its strengths and weaknesses. We argue that, given current technology, macro stress tests are ill-suited as early… Continue Reading
FDIC Board Proposes Stress Testing Regulation for Large Banks
News release:”The FDIC today approved a notice of proposed rulemaking (NPR) that would require certain large insured depository institutions to conduct annual capital-adequacy stress tests. The proposal, to implement section 165(i)(2) of the Dodd-Frank Wall Street Reform and Consumer Protection Act, would apply to FDIC-insured state nonmember banks and FDIC-insured state-chartered savings associations with total… Continue Reading
European Association of CCP Clearing Houses Paper on Best Practices for CCP Stress Testing
EACH Paper on best Practices for CCP Stress Testing, November 1, 2011 “The main aim of this paper is to make the appropriate distinction between stress testing performed by CCPs [European central counterparty clearing houses] and those by banking institutions. In addition to this, the paper attempts to provide a compilation of existing best practices… Continue Reading
