Stress-Testing Financial Systems: An Overview of Current Methodologies

Topics:
Commercial Banking
Tags:
Bank For International Settlements,
Finance,
Financial,
Financial Accounting
Source:
Bank for International Settlements

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Overview: This paper reviews the state-of-the-art of macro stress-testing methodologies for financial systems. Substantial progress has been made both in the econometric analysis of financial soundness indicators and in the simulation of value-at-risk measures to assess system-wide vulnerabilities. However, a number of methodological challenges remain concerning the correlation of market and credit risks over time and across institutions, the limited time horizon generally used for the analysis and the potential instability of reduced-form parameter estimates because of feedback effects.

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Format: PDF | Size: 488KB | Date: Dec 2004 | Pages: 41

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