Stress testing for supervisory purposes: Framework and challenges

Joseph Cox and Lisa Ryu

Journal of Risk Management in Financial Institutions, 2013, vol. 7, issue 1, 6-15

Abstract: Since 2009, when the Federal Reserve conducted the Supervisory Capital Assessment Program (SCAP), the Federal Reserve has been conducting supervisory stress tests to evaluate the capital adequacy of large banks and to support broad supervisory programmes. These stress tests provide a case study on the key challenges to designing a supervisory stress testing framework for ongoing supervision. The evolution of supervisory stress testing in the USA also provides a lens to examine particular considerations for scenario design, stress testing methodology, and public disclosure within the context of an annual exercise. The US experience suggests that annual supervisory stress tests can help link micro-prudential supervision to macro-prudential objectives; however, the value of supervisory stress tests is best assessed within the context of the broader supervisory programmes they support.

Keywords: stress testing framework; scenario design; stress test models; market discipline (search for similar items in EconPapers)
JEL-codes: E5 G2 (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations:

Downloads: (external link)
https://hstalks.com/article/4125/download/ (application/pdf)
https://hstalks.com/article/4125/ (text/html)
Requires a paid subscription for full access.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aza:rmfi00:y:2013:v:7:i:1:p:6-15

Access Statistics for this article

More articles in Journal of Risk Management in Financial Institutions from Henry Stewart Publications
Bibliographic data for series maintained by Henry Stewart Talks ().