Measuring the Severity of Stress-Test Scenarios

C. Bora Durdu, Rochelle Edge () and Daniel Schwindt

No 2017-05-05, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This note presents a simple methodology for measuring the severity of stress-test scenarios, which relies on a comparison of scenario developments with historically stressful episodes--specifically, recessions and house-price retrenchments.

Date: 2017-05-05
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2017-05-05

DOI: 10.17016/2380-7172.1970

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