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Stress-Testing Financial Systems: An Overview of Current Methodologies
Company: Basel Committee on Banking Supervision
Company Url: Click here to open
Year Of Publication: 2004
Month Of Publication: December
Pages: 41
Download Count: 1209
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Comment Num: 0
Language: EN
Who Can Read: Free
Date: 10-1-2005
Publisher: Administrator
This paper reviews the state-of-the-art of macro stress-testingmethodologies. Substantial progress has been made both in theeconometric analysis of financial soundness indicators and in thesimulation of value-at-risk measures to assess system-widevulnerabilities. However, a number of methodological challenges stillremain concerning the correlation of market and credit risks overtime and across institutions, the limited time horizon generally usedfor the analysis and the potential instability of reduced-formparameter estimates because of feedback effects. Further researchin this area might also focus on how to use macro stress-testingtechniques as an operational tool to incorporate financial stabilityconsiderations into monetary policy decision-making.
Sorge, Marco Sign in to follow this author
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