Evaluating Empirical Regularities in Variable Comovement in Stress Test Scenarios

Elena Afanasyeva, William F. Bassett, C. Bora Durdu, Sam Jerow and Fiona Waterman
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William F. Bassett: https://www.federalreserve.gov/econres/william-f-bassett.htm

No 2025-09-19-1, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Each year, the Federal Reserve Board conducts a stress test of large banks to assess their ability to withstand economic downturns while continuing to lend and meet their obligations. These stress tests include severely adverse scenarios which feature 13-quarter paths of key macroeconomic and financial variables that factor into the calculation of projected capital losses of the stress-tested institutions.

Date: 2025-09-19
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2025-09-19-1

DOI: 10.17016/2380-7172.3885

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