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The CLASS Model: A Top-Down Assessment of the U.S. Banking System

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Abstract

Central banks and bank supervisors have increasingly relied on capital stress testing as a supervisory and macroprudential tool. Stress tests have been used by central banks and supervisors to assess the resilience of individual banking companies to adverse macroeconomic and financial market conditions as a way of gauging additional capital needs at individual firms and as a means of assessing the overall capital strength of the banking system. In this post, we describe a framework for assessing the impact of various macroeconomic scenarios on the capital and performance of the U.S. banking system—the Capital and Loss Assessment under Stress Scenarios (CLASS) model—and present some of its key outputs.

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  • Meru Bhanot & Beverly Hirtle & Anna Kovner & James Vickery, 2014. "The CLASS Model: A Top-Down Assessment of the U.S. Banking System," Liberty Street Economics 20140604, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednls:86951
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    Cited by:

    1. Kupiec, Paul H., 2020. "Policy uncertainty and bank stress testing," Journal of Financial Stability, Elsevier, vol. 51(C).

    More about this item

    Keywords

    bank capital; stress testing;

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services

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