Stress-testing

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Scenarios for the European Insurance and Occupational Pensions Authority’s EU-Wide Pension Fund Stress Test in 2015

ESRB macro-financial scenarios for EU-wide stress test for defined benefit pension funds

European Systemic Risk Board macro-financial scenarios for EU-wide stress test for defined benefit pension funds. Scenarios include identified risks and vulnerabilities, the underlying economic narrative and calibrated shocks to key financial market variables. Scenarios are intended to inform harmonized valuation of defined benefit pension funds under so-called holistic balance sheet approach.

Publisher: Regional Standard-Setting Bodies Release date: Mar 2015

Type: Standard

Topics: Stress-testing

Sectors: Pensions

Stress Testing the UK Banking System: Key Elements of the 2015 Stress Test

BOE 2015 stress test framework

Bank of England outlines the two core elements of its 2015 stress test: i) scenarios to be explored by the exercise, including stress and baseline scenarios; and ii) standards, or 'hurdle rates,' against which banks will be assessed. The severity of the stress scenario and hurdle rate framework are key determinants of the resilience standard that the UK banking system is being held to through the stress test.

Publisher: National Regulators Release date: Feb 2015 Country: United Kingdom

Type: Consultative, discussion and issues paper

Topics: Stress-testing, Capital adequacy

Sectors: Banking

Stress Testing the UK Banking System: 2014 Results

BOE report on results of first stress test of UK banking system

Bank of England report on results of first concurrent stress test of UK banking system, which was built on common, EU-wide exercise coordinated by the European Banking Authority (EBA). Test covered eight major UK banks and building societies and assessed impact of a variant of the EU-wide stress scenario on end-2013 balance sheets. Explored vulnerabilities stemming from UK household sector in particular, reflecting the Financial Policy Committee’s (FPC’s) assessment of main domestic risks to financial stability. Key judgments to arrive at final projections were taken by BOE staff, under guidance of the FPC and the Prudential Regulation Authority (PRA) Board. Bank-specific results have been approved by the PRA Board.

Publisher: National Regulators Release date: Dec 2014 Country: United Kingdom

Type: Consultative, discussion and issues paper

Topics: Stress-testing, Macroprudential, Capital adequacy

Sectors: Banking

Regulation and Supervision of Domestic Systemically Important Banks in Nigeria

CBN and NDIC regulatory and supervisory framework for systemically important banks

Central Bank of Nigeria and Nigeria Deposit Insurance Corporation framework specifies assessment methodology for identifying systemically important banks, higher loss absorbency (capital) and additional regulatory requirements such as liquidity, stress testing, disclosure and reporting as well as enhanced supervision requirements.

Publisher: National Regulators Release date: Sep 2014 Country: Nigeria

Type: Law, Regulation and Policy

Parent: BCBS Framework for Dealing with Domestic Systemically Important Banks

Topics: Capital adequacy, Systemically important financial institutions (SIFIs), Liquidity risk and rules, Stress-testing, Transparency and disclosure, Recovery and resolution

Sectors: Banking

Canada Financial Sector Assessment Program: Stress Testing - Technical Note

IMF technical note on stress testing module of the 2013 FSAP Update for Canada

International Monetary Fund technical note identifies risk factors likely to weigh on financial results during period of severe stress. Stress tests included six largest Canadian banks, three largest life insurance providers and Canada Mortgage and Housing Corporation (CMHC).

Publisher: International Organizations Release date: Feb 2014 Country: Canada

Type: Consultative, discussion and issues paper

Topics: Capital adequacy, Stress-testing

Sectors: Banking, Insurance

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

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

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Resources

382 records

Scenarios for the European Insurance and Occupational Pensions Authority’s EU-Wide Pension Fund Stress Test in 2015

Stress Testing the UK Banking System: Key Elements of the 2015 Stress Test

Stress Testing the UK Banking System: 2014 Results

Regulation and Supervision of Domestic Systemically Important Banks in Nigeria

Canada Financial Sector Assessment Program: Stress Testing - Technical Note

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

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