No Access

The Pre- and Post-Crisis Stress Testing in the Banking Sector — A Literature Review

Kuo-Wei Hsiao

Risk Management Institute, National University of Singapore, Singapore

Search for more papers by this author

and

Zhengyi Jiang

Master of Science in Financial Engineering, National University of Singapore, Singapore

Search for more papers by this author

https://doi.org/10.1142/S2010493615500075Cited by:0 (Source: Crossref)

The authors would like to thank Thomas Cho, Eleni Sofokleous, Weimin Miao, Wei-Ting Wang and Ian Phang for their useful comments and suggestions.

References

A. Abdymomunov and J. Gerlach , Journal of Banking & Finance 49 , 287 ( 2014 ) . Crossref, Google Scholar
V. Acharya et al. , Journal of Monetary Economics 65 , 36 ( 2014 ) . Crossref, Google Scholar
C. Alexander and E. Sheedy, Journal of Banking & Finance 32(10), 2220 (2008). Crossref, Google Scholar
R. Alfaro and M. Drehmann , BIS Quarterly Review 3 , 1 ( 2009 ) . Google Scholar
P. Artzner and D. Applebaum , Lévy Processes and Stochastic Calculus ( Cambridge University Press , 2004 ) . Google Scholar
P. Artzner et al. , Risk 10 , 68 ( 1997 ) . Google Scholar
Arya, O. P. (2008), Effective Techniques for Stress Testing and Scenario Analysis. GARP: November 4th, India . Google Scholar
Authority, H. K. M. (2014), Half-Yearly Monetary and Financial Stability Report . Google Scholar
V. Wooet al., Financial Markets, Institutions & Instruments 23(1), 1 (2014). Crossref, Google Scholar
Banks, A. I. R. C. O. T. E. S. O. C. (2012), Financial Stability Challenges for EU Acceding and Candidate Countries. (No 136) . Google Scholar
Ç. Başarir and C. Toraman , Journal of Accounting & Finance ( 2014 ) . Google Scholar
Basel, S. (2000), Stress Testing by Large Financial Institutions: Current Practice and Aggregation Issues. Committee on the Global Financial System . Google Scholar
D. Bayazitova and A. Shivdasani, Review of Financial Studies 25(2), 377 (2012). Crossref, Google Scholar
R Bookstaberet al., Journal of Risk Management in Financial Institutions 7(1), 16 (2014). Google Scholar
C. Borio, CESifo Economic Studies 49(2), 181 (2003). Crossref, Google Scholar
C. Borio et al. , Journal of Financial Stability 12 , 3 ( 2014 ) . Crossref, Google Scholar
Breuer, T. et al. (2008), Macro Stress and Worst Case Analysis of Loan Portfolios. Electronic Copy. Available at: http://ssrn. com/abstract 1149952 . Google Scholar
T Breueret al., Journal of Banking & Finance 36(2), 332 (2012). Crossref, Google Scholar
Breuer, T. and Oesterreichische Nationalbank (2009), How to Find Plausible, Severe, and Useful Stress Scenarios. Oesterreichische Nationalbank . Google Scholar
D. Buncic and M. Melecky, Journal of Financial Stability 9(3), 347 (2013). Crossref, Google Scholar
F. Caccioli et al. , Journal of Banking & Finance ( 2014 ) . Google Scholar
Chan-Lau, J. A. (2013), Market-Based Structural Top–Down Stress Tests of The Banking System . Google Scholar
China, F. S. A. G. O. P. S. B. O. (2014), China Financial Stability Report 2014 . Google Scholar
M. Čihák , Introduction to Applied Stress Testing ( International Monetary Fund , 2007 ) . Crossref, Google Scholar
Čihk, M. and L. L. Ong (2010), Of Runes and Sagas: Perspectives on Liquidity Stress Testing Using an Iceland Example. International Monetary Fund . Google Scholar
Cuffe, S. and L. R. Goldberg (2011), Allocating Assets in Climates of Extreme Risk. MSCI Barra Research Paper (2011–08) . Google Scholar
De Larosière, J. (2009), The High-Level Group on Financial Supervision in the EU: Report. European Commission . Google Scholar
J. Dovernet al., Journal of Banking & Finance 34(8), 1839 (2010). Crossref, Google Scholar
M. Drehmann , Sveriges Riksbank Economic Review 2 , 60 ( 2008 ) . Google Scholar
M. Drehmannet al., Journal of Banking & Finance 34(4), 713 (2010). Crossref, Google Scholar
Duan, J. C. and T. Wang (2015), Stress Testing with a Bottom–Up Corporate Default Prediction Model . Google Scholar
Federal Reserve (2009), The Supervisory Capital Assessment Program: Design and Implementation. Federal Reserve, Washington DC . Google Scholar
I. Fender, Current Issues in Economics and Finance 7(10), 1 (2001). Google Scholar
Flannery, M. J. (2013), Measuring Equity Capital for Stress Testing Large Financial Institutions. Available at SSRN 2370104 . Google Scholar
Foglia, A. (2009), Stress Testing Credit Risk: A Survey of Authorities' Approaches . Google Scholar
G. Galati and R. Moessner, Journal of Economic Surveys 27(5), 846 (2013). Crossref, Google Scholar
Greenlaw, D. et al. (2012), Stressed Out: Macroprudential Principles for Stress Testing. Chicago Booth Research Paper (12–08) . Google Scholar
P. Grundke, Journal of Risk Model Validation 5(1), 71 (2011). Crossref, Google Scholar
A. Haldane , BIS Review 18 , 1 ( 2009 ) . Google Scholar
Hirtle, B. et al. (2009), Macroprudential Supervision of Financial Institutions: Lessons from the SCAP. FRB of New York Staff Report 409 . Google Scholar
Hoggarth, G. et al. (2005), Stress Tests of UK Banks Using a Var Approach . Google Scholar
X Huanget al., Journal of Banking & Finance 33(11), 2036 (2009). Crossref, Google Scholar
India, R. B. O. (2014), Financial Stability Report No. 9 . Google Scholar
Indonesia, B. (2014), Financial Stability Review No. 23 . Google Scholar
B. H. D. Jannis, Journal of Accounting Research 51(5), (2013). Google Scholar
Japan, B. O. (2014), Financial System Report . Google Scholar
Jérôme H. C. K. (2013), A Macro Stress Testing Framework for Assessing Systemic Risks in the Banking Sector. No. 152 . Google Scholar
Jobst, M. A. A. et al. (2013), A Framework for Macroprudential Bank Solvency Stress Testing: Application to S-25 and Other G-20 Country FSAPs. International Monetary Fund . Google Scholar
Jones, M. T. et al. (2004), Stress Testing Financial Systems: What to do When the Governor Calls. International Monetary Fund . Google Scholar
F. M. Longin, Journal of Banking & Finance 24(7), 1097 (2000). Crossref, Google Scholar
Malaysia, B. N. (2014), Financial Stability and Payment Systems Report 2013 . Google Scholar
Melecky, M. and A. M. Podpiera (2010), Macroprudential Stress-Testing Practices of Central Banks in Central and South Eastern Europe: An Overview and Challenges Ahead. World Bank Policy Research Working Paper Series . Google Scholar
Ong, L. L. (2014), A Guide to IMF Stress Testing. International Monetary Fund, Publication Service . Google Scholar
Orphanides, A. (2014), Stress Tests as a Policy Tool: The European Experience During the Crisis . Google Scholar
Oura, H. and L. B. Schumacher (2012), Macrofinancial Stress Testing-Principles and Practices. International Monetary Fund Policy Paper . Google Scholar
Peria, M. S. M. et al. (2001), Stress Testing of Financial Systems: An Overview of Issues, Methodologies, and Fsap Experiences. International Monetary Fund . Google Scholar
Peristiani, S. et al. (2010), The Information Value of the Stress Test and Bank Opacity. FRB of New York Staff Report 460 . Google Scholar
G. Petrella and A. Resti, Journal of Banking & Finance 37(12), 5406 (2013). Crossref, Google Scholar
S. Peura and E. Jokivuolle, Journal of Banking & Finance 28(8), 1801 (2004). Crossref, Google Scholar
Plank, K. (2013), Stress Tests of Credit Risks. Available at SSRN 2412743 . Google Scholar
M. Saldías, Journal of Banking & Finance 37(11), 4534 (2013). Crossref, Google Scholar
R. Schechtman and W. P. Gaglianone, Journal of Financial Stability 8(3), 174 (2012). Crossref, Google Scholar
Schinasi, M. G. J. (2004), Defining Financial Stability (EPub). International Monetary Fund . Google Scholar
Schuermann, T. et al. (2013), Stress Testing Bank Profitability. Available at SSRN 2333951 . Google Scholar
Settlements, B. F. I. (2009), Principles for Sound Stress Testing Practices and Supervision. Basel Committee on Banking Supervision: 18 . Google Scholar
Settlements, B. F. I. (2013), Liquidity Stress Testing: A Survey of Theory, Empirics and Current Industry and Supervisory Practices. Basel Committee on Banking Supervision Working Paper No. 24: 69 . Google Scholar
Simone Calogero Marino, L. S. C. (2013), The 2011 EU-wide Stress Test: Overview, Analysis And Considerations . Google Scholar
M. A. O. Singapore , Financial Stability Review ( 2014 ) . Google Scholar
Sorge, M. (2004), Stress-Testing Financial Systems: An Overview of Current Methodologies . Google Scholar
Swinburne, M. (2008), The IMF's Experience with Macro Stress Testing 1. Simulating Financial Instability, 58 . Google Scholar
Turner, A. (2009), A Regulatory Response to the Global Banking Crisis. Financial Services Authority, London . Google Scholar
Virolainen, K. (2004), Macro Stress Testing With A Macroeconomic Credit Risk Model for Finland. Bank of Finland Discussion Paper 18 . Google Scholar
V. Wooet al., Financial Markets, Institutions & Instruments 23(1), 1 (2014). Crossref, Google Scholar
Worrell, M. D. (2004), Quantitative Assessment of the Financial Sector: An Integrated Approach (EPub). International Monetary Fund . Google Scholar

System Upgrade on Tue, May 28th, 2024 at 2am (EDT)

The Pre- and Post-Crisis Stress Testing in the Banking Sector — A Literature Review

Recommended