Stress Tests Disclosure: Theory, Practice, and New Perspectives

To appear at Handbook of Financial Stress Testing, Edited by Farmer, Kleinnijenhuis, Wetzer, and Schuermann, Cambridge University Press, 2020

29 Pages Posted: 20 Jul 2020

See all articles by Itay Goldstein

Itay Goldstein

University of Pennsylvania - The Wharton School - Finance Department

Yaron Leitner

Washington University in St. Louis, Olin Business School

Date Written: June 28, 2020

Abstract

We review various costs and benefits of disclosure of stress test results and the models behind the tests and provide unified frameworks to evaluate the tradeoffs. We also review the evolution of practice on the disclosure of stress test results over the years and caution against the link between greater disclosure and weaker tests.

JEL Classification: D82, G01, G28

Suggested Citation

Goldstein, Itay and Leitner, Yaron, Stress Tests Disclosure: Theory, Practice, and New Perspectives (June 28, 2020). To appear at Handbook of Financial Stress Testing, Edited by Farmer, Kleinnijenhuis, Wetzer, and Schuermann, Cambridge University Press, 2020 , Available at SSRN: https://ssrn.com/abstract=3637146 or http://dx.doi.org/10.2139/ssrn.3637146

Itay Goldstein

University of Pennsylvania - The Wharton School - Finance Department ( email )

The Wharton School
3620 Locust Walk
Philadelphia, PA 19104
United States
215-746-0499 (Phone)

Yaron Leitner (Contact Author)

Washington University in St. Louis, Olin Business School

United States

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