Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/195874 
Year of Publication: 
2018
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 6 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2018 [Pages:] 1-54
Publisher: 
MDPI, Basel
Abstract: 
We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks' capital adequacy, financial fragility, and probability of default. The paper provides a theoretical presentation of the methodology and the essential features of the forecasting model on which it is based. Also, for illustrative purposes and to show in practical terms how to apply the methodology and the types of outcomes and analysis that can be obtained, we report the results of an empirical application of the methodology proposed to the Global Systemically Important Banks (G-SIB) banks. The results of the stress test exercise are compared with the results of the supervisory stress tests performed in 2014 by the Federal Reserve and EBA/ECB.
Subjects: 
capital adequacy
economic capital
financial fragility
liquidity risk
Monte Carlo simulation
probability of default
Solvency risk
SREP
stochastic simulation
stress testing
JEL: 
C15
C63
G21
G28
G32
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
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