Primer on the Forward-Looking Analysis of Risk Events (FLARE) Model: A Top-Down Stress Test Model

22 Pages Posted: 14 May 2020

See all articles by Sergio Correia

Sergio Correia

Board of Governors of the Federal Reserve System

Kevin F. Kiernan

Independent

Matthew P. Seay

Independent

Cindy M. Vojtech

Board of Governors of the Federal Reserve System

Date Written: February 13, 2020

Abstract

This technical note describes the Forward-Looking Analysis of Risk Events (FLARE) model, which is a top-down model that helps assess how well the banking system is positioned to weather exogenous macroeconomic shocks. FLARE estimates banking system capital under varying macroeconomic scenarios, time horizons, and other systemic shocks.

Keywords: Bank capital; Stress testing; Comprehensive capital analysis and review (CCAR); Dodd-Frank Act stress tests (DFAST); Financial stability and risk

JEL Classification: G18; G21; G28

Suggested Citation

Correia, Sergio and Kiernan, Kevin F. and Seay, Matthew P. and Vojtech, Cindy M., Primer on the Forward-Looking Analysis of Risk Events (FLARE) Model: A Top-Down Stress Test Model (February 13, 2020). FEDS Working Paper No. 2020-015 https://doi.org/10.17016/FEDS.2020.015 , Available at SSRN: https://ssrn.com/abstract=3600430

Sergio Correia (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Kevin F. Kiernan

Independent

Matthew P. Seay

Independent

Cindy M. Vojtech

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

HOME PAGE: http://https://www.federalreserve.gov/econres/cindy-m-vojtech.htm

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