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Chapitre D'ouvrage Année : 2017

Stress Testing in Banking: A Critical Review

Résumé

Stress testing is used both by banks as a risk management tool and by banking authorities in macroprudential regulation in order to determine how certain extreme, but still plausible, shock scenarios would affect the value of bank asset portfolios or the stability of the banking system. Before the inception of the Global Financial Crisis of 2007, the stress tests had been conducted following a bottom-up approach, on a bank-by-bank basis. Since then, many observers have advocated for a more extensive use of stress tests, especially as a useful macroprudential tool. This chapter examines the theoretical underpinnings of the various stress testing methodologies in use at central banks and prudential authorities, as well as some practical aspects related to the calibration of stress scenarios.
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Dates et versions

hal-04212972 , version 1 (20-09-2023)

Identifiants

  • HAL Id : hal-04212972 , version 1

Citer

Adrian Pop. Stress Testing in Banking: A Critical Review. Cambridge University Press. Preparing for the Next Financial Crisis: Policies, Tools and Models, , pp.89-107, 2017, 978-1-107-18559-3. ⟨hal-04212972⟩
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