Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/299578 
Year of Publication: 
2024
Series/Report no.: 
ECB Occasional Paper No. 348
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
This paper provides an overview of stress-testing methodologies in Europe, with a focus on the advancements made by the European Central Bank's Financial Stability Committee Working Group on Stress Testing (WGST). Over a four-year period, the WGST played a pivotal role in refining stress-testing practices, promoting collaboration among central banks and supervisory authorities and addressing challenges in the evolving financial landscape. The paper discusses the development and application of various stress-testing models, including top-down models, macro-micro models and system-wide models. It highlights the integration of new datasets and model validation efforts as well as the expanded use of stress-testing methodologies in risk and policy evaluation and in communication. The collaborative efforts of the WGST have demystified stress-testing methodologies and fostered trust among stakeholders. The paper concludes by outlining the future agenda for continued improvements in stress-testing practices.
Subjects: 
stress testing
prudential policies
uncertainty
macro-financial scenarios
Basel III
COVID19 mitigation
impact assessment
lending
economic activity
communication
Working Group on Stress Testing
financial system model
JEL: 
G21
G28
C58
G01
G18
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-6416-6
Document Type: 
Research Report

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