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RAMSI: a top-down stress-testing model developed at the Bank of England

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Author Info

  • Burrows, Oliver

    ()
    (Bank of England)

  • Learmonth, David

    ()
    (Bank of England)

  • McKeown, jack

    ()
    (Bank of England)

  • Williams, Richard

    ()
    (Bank of England)

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    Abstract

    Top-down stress testing is one way of assessing the resilience of the financial system to the risks it might face now or in the future. The Risk Assessment Model of Systemic Institutions (RAMSI) developed at the Bank of England is an example of a top-down stress-testing model and is part of the Bank’s risk assessment toolkit. This article offers an overview of RAMSI and illustrates its use in the stress tests carried out during the IMF’s 2011 UK Financial Stability Assessment Program.

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    File URL: http://www.bankofengland.co.uk/publications/Documents/quarterlybulletin/qb120301.pdf
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    Bibliographic Info

    Article provided by Bank of England in its journal Bank of England Quarterly Bulletin.

    Volume (Year): 52 (2012)
    Issue (Month): 3 ()
    Pages: 204-212

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    Handle: RePEc:boe:qbullt:0081

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    1. Piergiorgio Alessandri & Benjamin Nelson, 2014. "Simple banking: profitability and the yield curve," Temi di discussione (Economic working papers) 945, Bank of Italy, Economic Research and International Relations Area.
    2. David Aikman & Piergiorgio Alessandri & Bruno Eklund & Prasanna Gai & Sujit Kapadia, & Elizabeth Martin, & Nada Mora & Gabriel Sterne & Matthew Willison, 2011. "Funding Liquidity Risk in a Quantitative Model of Systemic Stability," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.), Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 12, pages 371-410 Central Bank of Chile.
    3. Piergiorgio Alessandri & Prasanna Gai & Sujit Kapadia & Nada Mora & Claus Puhr, 2009. "Towards a Framework for Quantifying Systemic Stability," International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 47-81, September.
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    Cited by:
    1. Butt, Nick & Pugh, Alice, 2014. "Credit spreads: capturing credit conditions facing households and firms," Bank of England Quarterly Bulletin, Bank of England, vol. 54(2), pages 137-148.

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