MERCURE: A Macroprudential Stress Testing Model developed at the ACPR
L. Labonne and
Débats économiques et financiers from Banque de France
The French Supervisory Authority got involved into macro stress testing exercises stress since the first Financial Stability Assessment Program (“FSAP”) led by the IMF in France in 2004. Along “bottom up” exercises led at the national or international level, the ACPR has developed a “top down” stress testing model. This model was primarily focused on credit risks. Over the years, its risk coverage has substantially been extended and this article provides an update. Some risks make explicitly part of a dedicated analysis –for example the risks related to banks’ retail activities. More attention is now given to contagion effects, sectorial shocks and concentration risks. Financial institutions other than banks are considered. More granular data allow for a more refined analysis.
Keywords: Stress Testing; Systemic Risk; Macroprudential Policy. (search for similar items in EconPapers)
JEL-codes: G21 G28 (search for similar items in EconPapers)
Pages: 53 pages
New Economics Papers: this item is included in nep-mac and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
https://acpr.banque-france.fr/fileadmin/user_uploa ... 1012-DEF-Mercure.pdf (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bfr:decfin:19
Access Statistics for this paper
More papers in Débats économiques et financiers from Banque de France Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS. Contact information at EDIRC.
Bibliographic data for series maintained by Michael brassart ().