دانلود رایگان مقاله تست استرس بانک

abstract

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.

6. Conclusion

The problem of sizing the amount of capital needed to support a bank’s risk taking is not new, but the use of broad-based supervisory stress tests for an entire banking system is. The first use of such tests was in the US in 2009, and its success there has made it the supervisory and risk management hammer for dealing with all nails. A critical component of the exercise is the disclosure of the results. The reason why stress testing became an imperative was precisely because existing approaches that were publicly disclosed, such as regulatory capital ratios, were no longer informative, and were heavily (if not entirely) discounted by the market. In order to regain their credibility, supervisory authorities needed to disclose enough to allow the market to ‘‘check the math’’. However, broad-based supervisory stress testing has not been universally successful, as the 2010–2011 European experience has shown. Nor is it clear how useful such broad supervisory stress testing with concomitant disclosure would be as a matter of routine. Its value in the crisis was undoubtedly due to its ‘‘pop quiz’’ nature. It was sprung on the banks at short notice, and thus was very difficult for them to manipulate through careful pre-positioning; and it was tailored to the situation at hand, genuinely revealing new information to all participants and the public. As a result, trust was regained. Once that trust has been re-established, the cost-benefit of stress testing disclosures may tip away from bank-specific towards more aggregated information. This still provides the market with unique information (after all, supervisors have access to proprietary bank data) without taking away market participants’ incentives to produce private information and trade on it—with all the downstream benefits of information-rich prices and market discipline.