IDEAS home Printed from https://ideas.repec.org/p/boe/finsta/0017.html
   My bibliography  Save this paper

Financial Stability Paper No 17: RAMSI: a top-down stress-testing model

Author

Listed:
  • Burrows, Oliver

    (Bank of England)

  • Learmonth, David

    (Bank of England)

  • McKeown, Jack

    (Bank of England)

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. And by considering a range of different risks, top-down stress testing can also provide an indication of the key vulnerabilities of the system. The Bank of England’s Risk Assessment Model of Systemic Institutions (RAMSI) is an example of a top-down stress-testing model and is one part of the Bank’s risk assessment toolkit. This paper offers an overview of RAMSI and provides, by way of illustration, a detailed description of its implementation as part of the comprehensive set of stress tests carried out during the IMF’s 2011 UK Financial Sector Assessment Program (FSAP).

Suggested Citation

  • Burrows, Oliver & Learmonth, David & McKeown, Jack, 2012. "Financial Stability Paper No 17: RAMSI: a top-down stress-testing model," Bank of England Financial Stability Papers 17, Bank of England.
    • Handle: RePEc:boe:finsta:0017
    Note: http://www.bankofengland.co.uk/financialstability/Pages/fpc/fspapers/fs_paper17.aspx
    as

    Download full text from publisher

    File URL: https://www.bankofengland.co.uk/-/media/boe/files/financial-stability-paper/2012/ramsi-a-top-down-stress-testing-model
    File Function: Full text
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. 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.
    2. Piergiorgio Alessandri & Benjamin D. Nelson, 2015. "Simple Banking: Profitability and the Yield Curve," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(1), pages 143-175, February.
    3. Borio, Claudio & Drehmann, Mathias & Tsatsaronis, Kostas, 2014. "Stress-testing macro stress testing: Does it live up to expectations?," Journal of Financial Stability, Elsevier, vol. 12(C), pages 3-15.
    4. Sujit Kapadia & Matthias Drehmann & John Elliott & Gabriel Sterne, 2012. "Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks," NBER Chapters, in: Quantifying Systemic Risk, pages 29-61, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Henry, Jérôme & Zimmermann, Maik & Leber, Miha & Kolb, Markus & Grodzicki, Maciej & Amzallag, Adrien & Vouldis, Angelos & Hałaj, Grzegorz & Pancaro, Cosimo & Gross, Marco & Baudino, Patrizia & Sydow, , 2013. "A macro stress testing framework for assessing systemic risks in the banking sector," Occasional Paper Series 152, European Central Bank.
    2. Tente, Natalia & von Westernhagen, Natalja & Slopek, Ulf, 2017. "M-PRESS-CreditRisk: A holistic micro- and macroprudential approach to capital requirements," Discussion Papers 15/2017, Deutsche Bundesbank.
    3. Thomas Siemsen & Sigurd Mølster Galaasen & Pablo D'Erasmo & Alfonso Irarrazabal & Dean Corbae, 2016. "Stress Testing in a Structural Model of Bank Behavior," 2016 Meeting Papers 1315, Society for Economic Dynamics.
    4. Markus K. Brunnermeier & Patrick Cheridito, 2019. "Measuring and Allocating Systemic Risk," Risks, MDPI, vol. 7(2), pages 1-19, April.
    5. Ferrari, Stijn & Van Roy, Patrick & Vespro, Cristina, 2021. "Sensitivity of credit risk stress test results: Modelling issues with an application to Belgium," Journal of Financial Stability, Elsevier, vol. 52(C).
    6. International Monetary Fund, 2016. "Argentina: Financial Sector Assessment Program-Financial Sector Stability-Technical Note," IMF Staff Country Reports 2016/065, International Monetary Fund.
    7. David Longworth & Frank Milne, 2021. "Parallels Between Financial Regulation Prior to the Global Financial Crisis and Lack of Public Health Preparation Prior to Covid-19," Working Paper 1455, Economics Department, Queen's University.
    8. Jorge A. Chan-Lau, 2015. "Structural Market-Based Top–Down Stress Tests of the Banking System," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 35-48.
    9. Burrows, Oliver & Learmonth, David & McKeown, jack & Williams, Richard, 2012. "RAMSI: a top-down stress-testing model developed at the Bank of England," Bank of England Quarterly Bulletin, Bank of England, vol. 52(3), pages 204-212.
    10. Tijmen Daniëls & Patty Duijm & Franka Liedorp & Dimitris Mokas, 2017. "A top-down stress testing framework for the Dutch banking sector," DNB Occasional Studies 1503, Netherlands Central Bank, Research Department.
    11. Pliszka, Kamil, 2021. "System-wide and banks' internal stress tests: Regulatory requirements and literature review," Discussion Papers 19/2021, Deutsche Bundesbank.
    12. Pavel Kapinos & Oscar A. Mitnik, 2016. "A Top-down Approach to Stress-testing Banks," Journal of Financial Services Research, Springer;Western Finance Association, vol. 49(2), pages 229-264, June.
    13. Financial Stability Committee, Task Force on cross-border Spillover Effects of macroprudential measures & Kok, Christoffer & Reinhardt, Dennis, 2020. "Cross-border spillover effects of macroprudential policies: a conceptual framework," Occasional Paper Series 242, European Central Bank.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Mr. Dimitri G Demekas, 2015. "Designing Effective Macroprudential Stress Tests: Progress So Far and the Way Forward," IMF Working Papers 2015/146, International Monetary Fund.
    2. Pierluigi Bologna & Anatoli Segura, 2017. "Integrating Stress Tests within the Basel III Capital Framework: A Macroprudentially Coherent Approach," Journal of Financial Regulation, Oxford University Press, vol. 3(2), pages 159-186.
    3. Office of Financial Research (ed.), 2012. "Office of Financial Research 2012 Annual Report," Reports, Office of Financial Research, US Department of the Treasury, number 12-1.
    4. Mr. Heiko Hesse & Mr. Ferhan Salman & Mr. Christian Schmieder, 2014. "How to Capture Macro-Financial Spillover Effects in Stress Tests?," IMF Working Papers 2014/103, International Monetary Fund.
    5. Mr. Rodolfo Maino & Mr. Kalin I Tintchev, 2012. "From Stress to Costress: Stress Testing Interconnected Banking Systems," IMF Working Papers 2012/053, International Monetary Fund.
    6. Bookstaber, Rick & Cetina, Jill & Feldberg, Greg & Flood, Mark & Glasserman, Paul, 2013. "Stress tests to promote financial stability: Assessing progress and looking to the future," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, vol. 7(1), pages 16-25, December.
    7. Koliai, Lyes, 2016. "Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 1-22.
    8. Adam Gersl & Petr Jakubik & Tomas Konecny & Jakub Seidler, 2012. "Dynamic Stress Testing: The Framework for Testing Banking Sector Resilience Used by the Czech National Bank," Working Papers 2012/11, Czech National Bank.
    9. Paul Glasserman & Chulmin Kang & Wanmo Kang, 2013. "Stress Scenario Selection by Empirical Likelihood," Working Papers 13-07, Office of Financial Research, US Department of the Treasury.
    10. Christoph Aymanns & J. Doyne Farmer & Alissa M. Keinniejenhuis & Thom Wetzer, 2017. "Models of Financial Stability and their Application in Stress Tests," Working Papers on Finance 1805, University of St. Gallen, School of Finance.
    11. Jaimes Caruana, 2013. "Measuring Systemic Risk," Chapters, in: Andreas Dombret & Otto Lucius (ed.), Stability of the Financial System, chapter 9, Edward Elgar Publishing.
    12. Bo Jiang & Bruce Philp & Zhongmin Wu, 2018. "Macro stress testing in the banking system of China," Journal of Banking Regulation, Palgrave Macmillan, vol. 19(4), pages 287-298, November.
    13. Adam Gersl & Jakub Seidler, 2012. "How to Improve the Quality of Stress Tests through Backtesting," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(4), pages 325-346, August.
    14. Burrows, Oliver & Learmonth, David & McKeown, jack & Williams, Richard, 2012. "RAMSI: a top-down stress-testing model developed at the Bank of England," Bank of England Quarterly Bulletin, Bank of England, vol. 52(3), pages 204-212.
    15. Mokinski, Frieder, 2017. "A severity function approach to scenario selection," Discussion Papers 34/2017, Deutsche Bundesbank.
    16. Adam Gersl & Petr Jakubik & Tomas Konecny & Jakub Seidler, 2013. "Dynamic Stress Testing: The Framework for Assessing the Resilience of the Banking Sector Used by the Czech National Bank," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(6), pages 505-536, December.
    17. Henry, Jérôme & Zimmermann, Maik & Leber, Miha & Kolb, Markus & Grodzicki, Maciej & Amzallag, Adrien & Vouldis, Angelos & Hałaj, Grzegorz & Pancaro, Cosimo & Gross, Marco & Baudino, Patrizia & Sydow, , 2013. "A macro stress testing framework for assessing systemic risks in the banking sector," Occasional Paper Series 152, European Central Bank.
    18. Hałaj, Grzegorz, 2013. "Optimal asset structure of a bank - bank reactions to stressful market conditions," Working Paper Series 1533, European Central Bank.
    19. Waelchli Boris, 2016. "A proximity based macro stress testing framework," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-26, November.
    20. Souza, Sergio Rubens Stancato de, 2016. "Capital requirements, liquidity and financial stability: The case of Brazil," Journal of Financial Stability, Elsevier, vol. 25(C), pages 179-192.

    More about this item

    Keywords

    bank regulation; stress test;

    JEL classification:

    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boe:finsta:0017. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Digital Media Team (email available below). General contact details of provider: https://edirc.repec.org/data/boegvuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.