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Inside the black box: The accuracy of alternative stress test models

Paul Kupiec ()

AEI Economics Working Papers from American Enterprise Institute

Abstract: Regulatory forecasts of bank performance over hypothetical multiyear stress scenarios are used to set financial institution minimum regulatory capital requirements in multiple jurisdictions, yet little is known about the accuracy of these supervisory stress test models.

Keywords: Financial institutions; banks; stress tests; What to Do: Policy Recommendations Financial Policy (search for similar items in EconPapers)
JEL-codes: A (search for similar items in EconPapers)
Date: 2018-01
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