Banks' Backtesting Exceptions during the COVID-19 Crash: Causes and Consequences

Alice Abboud, Christopher Anderson, Aaron L. Game, Diana A. Iercosan, Hulusi Inanoglu and David Lynch
Additional contact information
Diana A. Iercosan: https://www.federalreserve.gov/econres/diana-a-iercosan.htm
Hulusi Inanoglu: https://www.federalreserve.gov/econres/hulusi-inanoglu.htm
David Lynch: https://www.federalreserve.gov/econres/david-k-lynch.htm

No 2021-07-08-2, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Banks' numerous and simultaneous backtesting exceptions in March 2020, during the COVID-19-related market crash, would have amplified their already-large spike in market risk capital requirements in the absence of regulatory intervention. This note provides background on how backtesting exceptions affect capital requirements generally, the source of those exceptions during the COVID-19 crash, and how regulators exercised discretion to mitigate the unintended capital increase.

Date: 2021-07-08
New Economics Papers: this item is included in nep-rmg
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.federalreserve.gov/econres/notes/feds- ... quences-20210708.htm (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:fip:fedgfn:2021-07-08-2

DOI: 10.17016/2380-7172.2939

Access Statistics for this paper

More papers in FEDS Notes from Board of Governors of the Federal Reserve System (U.S.) Contact information at EDIRC.
Bibliographic data for series maintained by Ryan Wolfslayer ; Keisha Fournillier ().