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Measuring the Severity of Stress-Test Scenarios

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Abstract

This note presents a simple methodology for measuring the severity of stress-test scenarios, which relies on a comparison of scenario developments with historically stressful episodes--specifically, recessions and house-price retrenchments.

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  • Bora Durdu & Rochelle M. Edge & Daniel Schwindt, 2017. "Measuring the Severity of Stress-Test Scenarios," FEDS Notes 2017-05-05, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfn:2017-05-05
    DOI: 10.17016/2380-7172.1970
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    File URL: https://www.federalreserve.gov/econres/notes/feds-notes/measuring-the-severity-of-stress-test-scenarios-20170505.htm
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    Cited by:

    1. Dorinel Bastide & Stéphane Crépey & Samuel Drapeau & Mekonnen Tadese, 2022. "Derivatives Risks as Costs in a One-Period Network Model," Working Papers hal-03554577, HAL.
    2. William F. Bassett & David E. Rappoport, 2022. "Enhancing Stress Tests by Adding Macroprudential Elements," Finance and Economics Discussion Series 2022-022, Board of Governors of the Federal Reserve System (U.S.).
    3. Dorinel Bastide & St'ephane Cr'epey & Samuel Drapeau & Mekonnen Tadese, 2022. "Derivatives Risks as Costs in a One-Period Network Model," Papers 2202.03248, arXiv.org, revised Feb 2022.
    4. Dorinel Bastide & Stéphane Crépey & Samuel Drapeau & Mekonnen Tadese, 2022. "Derivatives Risks as Costs in a One-Period Network Model," Post-Print hal-03910144, HAL.

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