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Concept of stress testing buffer requirement
https://doi.org/10.26354/bb.4.1.70.2018%20%20
Abstract
In the post-crisis era banks’ capital adequacy is established by the Basel III capital standards and, in many jurisdictions, also by supervisory stress tests. For most of the large global banks in the US and Europe, meeting the standard to pass their annual supervisory stress tests is the binding regulatory constraint. The ef????icient use of stress tests requires developing a coherent framework that takes into account how they interact with the existing micro and macroprudential instruments. This paper describes the ways in which supervisory stress tests can supplement the risk-based capital framework of Basel III and how this could be codified with a stress test buffer.
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stress test , capital regulation , prudential regulationsDownload files
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Vol. 70 No. 1 (2018)
Published: 2018-06-29
10.26354
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.