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
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.aei.org/publication/inside-the-black-bo ... e-stress-test-models (text/html)

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:aei:rpaper:923556

Access Statistics for this paper

More papers in AEI Economics Working Papers from American Enterprise Institute Contact information at EDIRC.
Bibliographic data for series maintained by Dave Adams, CIO ().