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MERCURE: A Macroprudential Stress Testing Model developed at the ACPR

Boubacar Camara, F.-D. Castellani, Henri Fraisse, L. Frey, C. Héam, L. Labonne and V. Martin

Débats économiques et financiers from Banque de France

Abstract: 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
Date: 2015
New Economics Papers: this item is included in nep-mac and nep-rmg
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