 | Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems Author/Editor: Andreas A Jobst, Li Lian Ong, Christian Schmieder. Release Date:May, 2017 Bank liquidity stress testing, which has become de rigueur following the costly lessons of the
global financial crisis, remains underdeveloped compared to solvency stress testing. The
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| How to Capture Macro-Financial Spillover Effects in Stress Tests? Author/Editor: Heiko Hesse, Ferhan Salman, Christian Schmieder. Release Date:June, 2014 One of the challenges of financial stability analysis and bank stress testing is how to establish scenarios with meaningful macro-financial linkages, i.e., taking into account spillover effects and more...
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| Rules of Thumb for Bank Solvency Stress Testing Author/Editor: Daniel C Hardy, Christian Schmieder. Release Date:November, 2013 Rules of thumb can be useful in undertaking quick, robust, and readily interpretable bank stress tests. Such rules of thumb are proposed for the behavior of banks’ capital ratios and key drivers more...
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 | A Framework for Macroprudential Bank Solvency Stress Testing: Application to S-25 and Other G-20 Country FSAPs Author/Editor: Andreas A Jobst, Li L Ong, Christian Schmieder. Release Date:March, 2013 The global financial crisis has placed the spotlight squarely on bank stress tests. Stress tests conducted in the lead-up to the crisis, including those by IMF staff, were not always able to identify more...
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| The Need for "Un-consolidating" Consolidated Banks' Stress Tests Author/Editor: Eugenio Cerutti, Christian Schmieder. Release Date:December, 2012 The recent crisis has spurred the use of stress tests as a (crisis) management and early warning tool. However, a weakness is that they omit potential risks embedded in the banking groups’ more...
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| A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing Author/Editor: Nassim N. Taleb, Elie Canetti, Tidiane Kinda, Elena Loukoianova, Christian Schmieder. Release Date:August, 2012 This paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and to public debt. Stress testing can be seen as a first order test of the level of more...
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| Next Generation System-Wide Liquidity Stress Testing Author/Editor: Christian Schmieder, Heiko Hesse, Benjamin Neudorfer, Claus Puhr, Stefan W. Schmitz. Release Date:January, 2012 A framework to run system-wide, balance sheet data-based liquidity stress tests is presented. The liquidity framework includes three elements: (a) a module to simulate the impact of bank run more...
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| Next Generation Balance Sheet Stress Testing Author/Editor: Christian Schmieder, Maher Hasan, Claus Puhr. Release Date:April, 2011 This paper presents a second-generation solvency stress testing framework extending applied stress testing work centered on Cihák (2007). The framework seeks enriching stress tests in terms of more...
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| The Impact of Legislation on Credit Risk : Comparative Evidence From the United States, the United Kingdom and Germany Author/Editor: Philipp Schmieder, Christian Schmieder. Release Date:March, 2011 This study investigates the link between bankruptcy and security legislation and potential credit losses faced by banks based on a cross-country study for the United States (US), the United Kingdom more...
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| Bankers Without Borders? Implications of Ring-Fencing for European Cross-Border Banks Author/Editor: Yuliya Makarova, Anna Ilyina, Christian Schmieder, Eugenio Cerutti. Release Date:November, 2010 This paper presents a stylized analysis of the effects of ring-fencing (i.e., different restrictions on cross-border transfers of excess profits and/or capital between a parent bank and its more...
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