Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/299584 
Year of Publication: 
2024
Series/Report no.: 
ECB Working Paper No. 2941
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
This paper proposes an operational approach to stress testing, allowing one to assess the banking sector's vulnerability in multiple plausible macro-financial scenarios. The approach helps identify macro-financial risk factors of particular relevance for the banking system and individual banks and searches for scenarios that could push them towards their worst outcomes. We demonstrate this concept using a macroprudential stress testing model for the euro area. By doing so, we show how multiple-scenario stress testing can complement single-scenario stress tests, aid in scenario design, and evaluate risks in the banking system. We also show how stress tests and scenarios can be optimized to accommodate different mandates and instruments of supervisory and macroprudential agencies.
Subjects: 
macroprudential stress test
multiple scenarios
reverse stress testing
financial stability
banking sector risks
systemic risks
JEL: 
E37
E58
G21
G28
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-6689-4
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.