Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154605
Editors: 
Henry, Jérôme
Kok, Christoffer
Year of Publication: 
2013
Series/Report no.: 
ECB Occasional Paper 152
Abstract: 
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.
Subjects: 
banking sector
financial crisis
macro stress test
macro-prudential policy
Systemic risk
JEL: 
C32
E60
H62
Document Type: 
Research Report

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