United Kingdom: Financial Sector Assessment Program-The Bank of England’s Stress Testing Framework-Technical Note

International Monetary Fund

No 2016/162, IMF Staff Country Reports from International Monetary Fund

Abstract: This paper discusses the Bank of England’s (BoE’s) stress testing program, including both the concurrent stress test and the stress testing done by the banks through the Internal Capital Adequacy Assessment Process, though with a clear focus on the former. The stress test is meant to generate information on potential vulnerabilities of the system to emerging and growing risks, both financial and in the real economy. The main purpose of the stress testing framework is to provide a forward-looking, quantitative assessment of capital adequacy of the U.K. banking system as a whole, and individual institutions within it. The stress-testing program is evaluated along five dimensions: scope of coverage, scenario design, analytical infrastructure, disclosure, and governance.

Keywords: ISCR; CR; BoE staff; PRA buffer; stress test; banking system; governance process; custody bank; BoE's stress; bank projection; capital position; bank specific; reference date; BoE's model; banks in the U.K.; U.K. financial system; U.K. subsidiary; Stress testing; Countercyclical capital buffers; Capital adequacy requirements; Financial sector stability; Financial statements; Global (search for similar items in EconPapers)
Pages: 31
Date: 2016-06-17
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