The CLASS Model: A Top-Down Assessment of the U.S. Banking System

Meru Bhanot, Beverly Hirtle, Anna Kovner and James Vickery ()

No 20140604, Liberty Street Economics from Federal Reserve Bank of New York

Abstract: Central banks and bank supervisors have increasingly relied on capital stress testing as a supervisory and macroprudential tool. Stress tests have been used by central banks and supervisors to assess the resilience of individual banking companies to adverse macroeconomic and financial market conditions as a way of gauging additional capital needs at individual firms and as a means of assessing the overall capital strength of the banking system. In this post, we describe a framework for assessing the impact of various macroeconomic scenarios on the capital and performance of the U.S. banking system—the Capital and Loss Assessment under Stress Scenarios (CLASS) model—and present some of its key outputs.

Keywords: bank capital; stress testing (search for similar items in EconPapers)
JEL-codes: G2 (search for similar items in EconPapers)
Date: 2014-06-04
New Economics Papers: this item is included in nep-ban
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