Stressed Out: Macroprudential Principles for Stress Testing
Anil K. Kashyap
University of Chicago, Booth School of Business; National Bureau of Economic Research (NBER); Federal Reserve Bank of Chicago
Kermit L. Schoenholtz
New York University - Stern School of Business - Department of Economics
Hyun Song Shin
Bank for International Settlements; Princeton University - Department of Economics
February 13, 2012
Chicago Booth Research Paper No. 12-08
Fama-Miller Working Paper
Since the conference version of this report in February 2011, bank stress tests have been almost continuously in the news. In the United States, the Dodd-Frank Act mandates annual stress tests for key institutions. In early 2011, the Federal Reserve conducted the first test under the Act on major banks, and is currently conducting the second test, the results of which will be announced in early 2012. Europe completed a stress test in July 2011 that ignored many principles of this report. Like the prior European tests in 2010, the 2011 version is now deemed to have failed, so that yet another European stress test exercise is contemplated.
Number of Pages in PDF File: 53
JEL Classification: G21, G28
Date posted: February 14, 2012 ; Last revised: April 4, 2013
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