Printable versionSend by emailPDF version
March 27, 2016

Part Two: Stress Test Scenarios and Forecasts for Market Uncertainty
In the second paper of our two-part series in A&M Readings in Quantitative Risk Management, we continue to examine the behavior of human beings in times of financial stress and how the changes in human behavior impact stress testing and the management of capital at banks. This issue discusses the new requirements of U.S. banking institutions to assess the impact of possible future scenarios involving the U.S. economy on their operations and capital levels. We also explore the human behavior implied in the scenarios designed by banking regulators and whether financial markets learn from past crises and adjust to those experiences.

 


Readings in Quantitative Risk Management
Stress Testing, Human Behavior and the Management of Capital in the Post-Crisis World - Part Two: Stress Test Scenarios and Forecasts for Market Uncertainty
Read the full report


 

In this series:

Readings in Quantitative Risk Management (Part 1)

Human Behavior in Financial Crises: A&M examines what happens in periods of financial crises, specifically human behavior in periods of stress, and suggests ways that bankers and regulators can make stress tests more sensitive to the impact of that behavior and its consequences for bank capital.