کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5088306 | 1375550 | 2016 | 61 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Assessing financial stability: The Capital and Loss Assessment under Stress Scenarios (CLASS) model
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
The CLASS model is a top-down capital stress testing framework that uses public data, simple econometric models and auxiliary assumptions to project the effect of macroeconomic scenarios on U.S. banking firms. Through the lens of the model, we find that the total banking system capital shortfall under stressful macroeconomic conditions began to rise 4Â years before the financial crisis, peaking in the fourth quarter of 2008. The capital gap has since fallen sharply, and is now significantly below pre-crisis levels. In the cross-section, banking firms estimated to be most sensitive to macroeconomic conditions also have higher capital ratios, consistent with a “precautionary” view of bank capital, though this behavior is evident only since the crisis. We interpret our results as evidence that the resiliency of the U.S. banking system has improved since the financial crisis, and also as an illustration of the value of stress testing as a macroprudential policy tool.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 69, Supplement 1, August 2016, Pages S35-S55
Journal: Journal of Banking & Finance - Volume 69, Supplement 1, August 2016, Pages S35-S55
نویسندگان
Beverly Hirtle, Anna Kovner, James Vickery, Meru Bhanot,