Stress-testing

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Report of the Peer Review of the EBA Stress Testing Guidelines

EBA report on stress testing best practices peer review

European Banking Authority peer review on implementation of EBA guidelines on stress testing. Aim is to assess and compare effectiveness of supervisory activities related to review of credit institutions' stress testing frameworks across the EU, as well as implementation of related provisions by supervisory authorities. Focused on methods and examples of best practice and covered; i) stress testing governance structures and their use; ii) possible methodologies including the appropriate severity of scenarios and potential mitigating measures during stressed conditions; and iii) overall impact of risk on institutions.

Publisher: Regional Standard-Setting Bodies Release date: Nov 2013

Type: Implementation

Peer: 2016 EU-Wide Stress Test , 2016 EU-Wide Stress Test Results

Topics: Stress-testing, Risk management

Sectors: Banking

A Framework for Stress Testing the UK Banking System

BOE discussion paper examining main features of proposed stress-testing framework for review and feedback

Bank of England discussion paper setting out proposals for main features of framework for annual and concurrent stress-testing of UK banking system. Focused on the medium-term stress-testing framework to elicit feedback from interested parties to help inform Financial Policy Committee (FPC) and Prudential Regulation Authority Board decisions over ultimate design of the UK stress-testing framework.

Publisher: National Regulators Release date: Oct 2013 Country: United Kingdom

Type: Consultative, discussion and issues paper

Peer: New Technology-Based Outsourcing Arrangements

Topics: Stress-testing

Sectors: Banking

Liquidity Stress Testing: A Survey of Theory, Empirics and Current Industry and Supervisory Practices

BCBS results of survey of current practices in liquidity stress testing

Basel Committee on Banking Supervision survey on current practices in liquidity stress testing. Examines current practices, identify gaps and suggest ways forward. Intended for broader supervisory community, including microprudential supervisors, staff of supervisory institutions involved with liquidity stress tests and macroprudential regulators and supervisors. Also relevant for risk managers in banks, given their role in measuring their institution's liquidity risk profile and enforcing risk limits. Key messages could also be helpful in future efforts to develop more guidance on liquidity stress-testing.

Publisher: Global Standard-Setting Bodies Release date: Sep 2013

Type: Consultative, discussion and issues paper

Peer: Making Supervisory Stress Tests More Macroprudential: Considering Liquidity and Solvency Interactions and Systemic Risk

Topics: Liquidity risk and rules, Stress-testing

Sectors: Banking, Insurance, Pensions, Securities

Stress Testing and Scenario Analysis

IAA paper presents actuarial perspective on scenario analysis and stress testing

International Actuarial Association paper discusses considerations that may be used to help develop scenarios for insurance companies and other financial institutions for use in sensitivity analysis and stress testing. Principally concerned with assessment and enhanced understanding of effects of sensitivities and stresses on a financial services firm or industry through a systematic and rigorous "what if" analysis.

Publisher: Industry Groups Release date: Jul 2013

Type: Consultative, discussion and issues paper

Topics: Actuarial, Macroprudential, Stress-testing

Sectors: Insurance

HKMA Supervisory Policy - Supervisory Review Process

HKMA policy for supervisory review of bank capital adequacy

Hong Kong Monetary Authority policy sets out its approach to the supervisory review process under Pillar 2 of the Basel capital framework, including criteria and standards used for evaluating bank capital adequacy and the effectiveness of bank's capital adequacy assessment process, for purposes of determining its minimum capital adequacy ratio. Describes how framework for determining any additional capital that a bank should hold will operate under the capital adequacy framework.

Publisher: National Regulators Release date: Dec 2012 Country: Hong Kong, China

Type: Law, Regulation and Policy

Peer: HKMA Supervisory Policy - Stress-Testing, HKMA Supervisory Policy - Overview of Capital Adequacy Regime for Locally Incorporated Authorized Institutions, Bank Culture Reform

Topics: Capital adequacy, Stress-testing, Risk-based supervision, Supervisory framework, Contingency planning

Sectors: Banking

Macrofinancial Stress Testing - Principles and Practices

IMF paper on seven best practices for stress testing

International Monetary Fund paper proposes seven "best practices" principles for stress testing: i) define the institutional perimeter for the tests; ii) identify all relevant channels of risk propagation; iii) include all material risks and buffers; iv) make use of the investors' viewpoint in design of stress tests; v) focus on all risks; vi) when communicating stress test results, speak smarter, not just louder; and vii) beware of the "black swan". While principles focus mainly on stress tests conducted for macrofinancial surveillance purposes, they also apply to stress tests undertaken for other purposes, such as microprudential oversight and institution-specific assessment.

Publisher: International Organizations Release date: Aug 2012

Type: Consultative, discussion and issues paper

Topics: Stress-testing, Crisis management and contingency planning, Macroprudential

Sectors: Banking

Financial Stability: Measurement and Policy

ECB speech about macroprudential research and current stage of financial stability analysis at the ECB

European Central Bank speech. Provides overview of recent macroprudential research. Discusses some main analytical tools for financial stability analysis at the ECB. Refers to set of macro-prudential policy instruments embedded in the EU Capital Requirements Directive (CRD) IV, and how these instruments should be made compatible with the requirements for both safeguarding financial stability and further developing the Single Market for financial services.

Publisher: Regional Standard-Setting Bodies Release date: Jun 2012

Type: Consultative, discussion and issues paper

Parent: Capital Requirements Directive - CRD IV

Topics: Macroprudential, Systemic risk, Stress-testing

Sectors: Banking

HKMA Supervisory Policy - Stress-Testing

HKMA policy on its proportionate supervisory approach to stress-testing by banks

Hong Kong Monetary Authority policy sets out key elements of an effective stress-testing program and describes its supervisory approach to assessing the adequacy of bank stress-testing practices. HKMA uses a proportionate approach when assessing stress-testing programs. Small and less complex banks should utilize qualitative assessments to complement simple sensitivity and scenario analyses of specific risk types to which they are most exposed. Large and complex banks should undertake more extensive and sophisticated stress tests.

Publisher: National Regulators Release date: May 2012 Country: Hong Kong, China

Type: Law, Regulation and Policy

Peer: HKMA Supervisory Policy - General Risk Management Controls, HKMA Supervisory Policy - Supervisory Review Process, HKMA Supervisory Policy - General Principles of Credit Risk Management

Topics: Stress-testing, Risk management

Sectors: Banking

Peer Review of Supervisory Authorities' Implementation of Stress Testing Principles

BCBS report summarizing how supervisory authorities have implemented the Committee’s 2009 Principles for sound stress testing practices and supervision

Basel Committee on Banking Supervision report finds stress testing has become a key component of supervisory assessment process and a tool for contingency planning and communication. Countries are at varying stages in implementing the principles and further work remains. BCBS will continue to monitor implementation of the principles and determine whether additional guidance is necessary.

Publisher: Global Standard-Setting Bodies Release date: Mar 2012

Type: Consultative, discussion and issues paper

Parent: Principles for Sound Stress Testing Practices and Supervision

Peer: Supervisory and Bank Stress Testing: Range of Practices , Bank Stress Testing Principles

Topics: Stress-testing

Sectors: Banking

Stress-Testing Macro Stress Testing: Does It Live Up to Expectations?

BIS working paper assessing strengths and weaknesses of macro stress testing

Bank for International Settlements working paper reviewing state of the art in macro stress testing, and assessing its strengths and weaknesses. Argues that, given current technology, macro stress tests are ill-suited as early warning devices, i.e. as tools for identifying vulnerabilities during seemingly tranquil times and for triggering remedial action. By contrast, as long as properly designed, stress tests can be quite effective as crisis management and resolution tools. Identifies additional side benefits, stemming largely from the way such tests can discipline thinking about financial stability and suggests ways to improve their performance.

Publisher: International Organizations Release date: Dec 2011

Type: Consultative, discussion and issues paper

Topics: Stress-testing, Macroprudential, Crisis management and contingency planning

Sectors: Banking

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Resources

382 records

Report of the Peer Review of the EBA Stress Testing Guidelines

A Framework for Stress Testing the UK Banking System

Liquidity Stress Testing: A Survey of Theory, Empirics and Current Industry and Supervisory Practices

Stress Testing and Scenario Analysis

HKMA Supervisory Policy - Supervisory Review Process

Macrofinancial Stress Testing - Principles and Practices

Financial Stability: Measurement and Policy

HKMA Supervisory Policy - Stress-Testing

Peer Review of Supervisory Authorities' Implementation of Stress Testing Principles

Stress-Testing Macro Stress Testing: Does It Live Up to Expectations?

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