Π‘ΡΠ΄ΡΡΠΆΠ°Π½ΠΈΠ΅ΡΠΎ Π½Π΅ Π΅ Π½Π°Π»ΠΈΡΠ½ΠΎ Π½Π° Π±ΡΠ»Π³Π°ΡΡΠΊΠΈ Π΅Π·ΠΈΠΊ.
Aljosa Ortl
- 15 May 2024
- OCCASIONAL PAPER SERIES - No. 348Details
- Abstract
- This paper provides an overview of stress-testing methodologies in Europe, with a focus on the advancements made by the 21΅γΛγΕΖΉ«Κ½βs Financial Stability Committee Working Group on Stress Testing (WGST). Over a four-year period, the WGST played a pivotal role in refining stress-testing practices, promoting collaboration among central banks and supervisory authorities and addressing challenges in the evolving financial landscape. The paper discusses the development and application of various stress-testing models, including top-down models, macro-micro models and system-wide models. It highlights the integration of new datasets and model validation efforts as well as the expanded use of stress-testing methodologies in risk and policy evaluation and in communication. The collaborative efforts of the WGST have demystified stress-testing methodologies and fostered trust among stakeholders. The paper concludes by outlining the future agenda for continued improvements in stress-testing practices.
- JEL Code
- G21 : Financial EconomicsβFinancial Institutions and ServicesβBanks, Depository Institutions, Micro Finance Institutions, Mortgages
G28 : Financial EconomicsβFinancial Institutions and ServicesβGovernment Policy and Regulation
C58 : Mathematical and Quantitative MethodsβEconometric ModelingβFinancial Econometrics
G01 : Financial EconomicsβGeneralβFinancial Crises
G18 : Financial EconomicsβGeneral Financial MarketsβGovernment Policy and Regulation