Bericht
A macro stress testing framework for assessing systemic risks in the banking sector
The use of macro stress tests to assess bank solvency has developed rapidly over the past few years. This development was reinforced by the financial crisis, which resulted in substantial losses for banks and created general uncertainty about the banking sector's loss-bearing capacity. Macro stress testing has proved a useful instrument to help identify potential vulnerabilities within the banking sector and to gauge its resilience to adverse developments. To support its contribution to safeguarding financial stability and its financial sector-related work in the context of EU/IMF Financial Assistance Programmes, and looking ahead to the establishment of the Single Supervisory Mechanism (SSM), the ECB has developed a top-down macro stress testing framework that is used regularly for forward-looking bank solvency assessments. This paper comprehensively presents the main features of this framework and illustrates how it can be employed for various policy analysis purposes.
- Language
-
Englisch
- Bibliographic citation
-
Series: ECB Occasional Paper ; No. 152
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: General
National Deficit; Surplus
- Subject
-
banking sector
financial crisis
macro stress test
macro-prudential policy
Systemic risk
Finanzkrise
Bankenliquidität
Systemrisiko
Bankenaufsicht
Finanzmarktaufsicht
EU-Staaten
- Event
-
Geistige Schöpfung
- (who)
-
Henry, Jérôme
Kok, Christoffer
- Event
-
Veröffentlichung
- (who)
-
European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2013
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Bericht
Associated
- Henry, Jérôme
- Kok, Christoffer
- European Central Bank (ECB)
Time of origin
- 2013
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