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Inside the black box: The accuracy of alternative stress test models

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  • Paul H. Kupiec

    (American Enterprise Institute)

Abstract

Regulatory forecasts of bank performance over hypothetical multiyear stress scenarios are used to set financial institution minimum regulatory capital requirements in multiple jurisdictions, yet little is known about the accuracy of these supervisory stress test models.

Suggested Citation

  • Paul H. Kupiec, 2018. "Inside the black box: The accuracy of alternative stress test models," AEI Economics Working Papers 923556, American Enterprise Institute.
    • Handle: RePEc:aei:rpaper:923556
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    References listed on IDEAS

    as
    1. Li Lian Ong & Ceyla Pazarbasioglu, 2014. "Credibility and Crisis Stress Testing," IJFS, MDPI, vol. 2(1), pages 1-67, February.
    2. Andreas Lehnert & Beverly Hirtle, 2015. "Supervisory Stress Tests," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 339-355, December.
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