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مشخصات این مقاله :
عنوان مقاله :
Stress testing banks
ترجمه فارسی عنوان :
بررسی آزمون استرس بانک
سال انتشار : 2013
متعلق به مجله یا ژورنال : نشریه بین المللی پیش بینی – International Journal of Forecasting
تعداد صفحات: 12
شماره پروژه: 5092
کلمات کلیدی :
Capital requirements,Leverage,Systemic risk
سرمایه مورد نیاز، قدرت نفوذ، ریسک سیستماتیک
How much capital and liquidity does a bank need to support its risk taking activities?During the recent (and still ongoing) financial crisis, answers to this question using standard approaches, e.g., regulatory capital ratios, were no longer credible, and thus broad-based supervisory stress testing became the new tool. Bank balance sheets are notoriously opaque and susceptible to asset substitution (easy swapping of high risk for low risk assets), so stress tests, tailored to the situation at hand, can provide clarity by openly disclosing details of the results and approaches taken, allowing trust to be regained. With that trust re-established, the cost-benefit of stress testing disclosures may tip away from bank-specific towards more aggregated information. This paper lays out a framework for the stress testing of banks: why it is useful and why it has become such a popular tool for the regulatory community in the course of the recent financial crisis; how stress testing is done (design and execution); and finally, with stress testing results in hand, how one should handle their disclosure, and whether it should be different in crisis vs. ‘‘normal’’ times.
مقدمه این مقاله :
There are three kinds of capital and liquidity: (1) the capital/liquidity you have; (2) the capital/liquidity you need (to support your business activities); and (3) the capital/liquidity the regulators think that you need.1 Stress testing, regulatory capital/liquidity and bank-internal (socalled ‘‘economic capital/liquidity’’) models all seek to do the same thing: to assess the amount of capital and liquidity which is needed to support the business activities of the financial institution. Capital adequacy addresses the right side of the balance sheet (net worth), and liquidity the left side (share of assets that are ‘‘liquid’’, however defined).If all goes well, both the economic and regulatory capital/liquidity are less than the required regulatory minimum,and their difference (between economic and regulatory) is small, that is, regulatory models do not deviate substantially from the results of internal models.Prior to their failure or near-failure, financial institutions such as Bear Stearns, Washington Mutual, Fannie Mae, Freddie Mac, Lehman and Wachovia were adequately or even well capitalized, at least according to the regulatory capital rules disclosed in their public filings.2 This set of institutions spans a broad range of regulatory capital regimes and regulators: the SEC and Basel 2 capital rules (Bear Stearns, Lehman), the OCC and the Federal Reserve and Basel 1 (Wachovia), the OTS (WaMu), and OFHEO (Fannie and Freddie)—the last actually based on a narrow stress scenario. All firms had a broad exposure to residential real estate assets, in the form of either whole loans (mortgages) or securities (MBS), or both, and all had internal risk models which may or may not have deviated materially from the regulatory models (we do not know this, as it is/was firm proprietary information).
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