Stress test on market risk: sensitivity of banks’ balance sheet structure to interest rate shocks

Stress test on market risk: sensitivity of banks’ balance sheet structure to interest rate shocks

Stress tests, applied to the banking system, have been a tool widely used by several private and governmental institutions at the international level, especially after the global financial crisis. This tool assesses the resilience of banks to numerous macro-financial shocks in different dimensions....

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Formato: Nota de Investigación
Lenguaje:English
Publicado: Banco Central de Chile 2020
Materias:
RIESGO FINANCIERO
TASAS DE INTERÉS
Acceso en línea:https://hdl.handle.net/20.500.12580/4861
https://ideas.repec.org/a/chb/bcchni/v20y2017i1p072-079.html
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spelling oai-20.500.12580-48612021-04-24T20:36:41Z Stress test on market risk: sensitivity of banks’ balance sheet structure to interest rate shocks RIESGO FINANCIERO TASAS DE INTERÉS Stress tests, applied to the banking system, have been a tool widely used by several private and governmental institutions at the international level, especially after the global financial crisis. This tool assesses the resilience of banks to numerous macro-financial shocks in different dimensions. In 1996, the Basel Committee on Banking Supervision (BCBS) recommended banks and investment firms to conduct stress tests to determine their ability to respond to market events. Initially, stress tests were only part of the internal self-assessment. But after the global financial crisis, some advanced economies, such as the United States, the European Union, and the United Kingdom, started stress testing for major banks. Although the Federal Reserve highlighted the use of stress tests before, these were only implemented formally in 2012 following the requirements of the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act). On the other hand, the Committee of European Banking Supervisors (CEBS) conducts annual stress tests since 2009, while the Financial Policy Committee (FPC) of the Bank of England published their first stress test results in 2014. 2020-05-27T19:37:11Z 2020-05-27T19:37:11Z 2017-04 Nota de Investigación 0717-3830 https://hdl.handle.net/20.500.12580/4861 https://ideas.repec.org/a/chb/bcchni/v20y2017i1p072-079.html en Economía chilena, vol. 20, no. 1 Attribution-NonCommercial-NoDerivs 3.0 Chile Attribution-NonCommercial-NoDerivs 3.0 Chile http://creativecommons.org/licenses/by-nc-nd/3.0/cl/ http://creativecommons.org/licenses/by-nc-nd/3.0/cl/ .pdf Sección o Parte de un Documento p. 080-098 application/pdf Banco Central de Chile
institution Banco Central
collection Banco Central
language English
topic RIESGO FINANCIERO
TASAS DE INTERÉS
spellingShingle RIESGO FINANCIERO
TASAS DE INTERÉS
Stress test on market risk: sensitivity of banks’ balance sheet structure to interest rate shocks
description Stress tests, applied to the banking system, have been a tool widely used by several private and governmental institutions at the international level, especially after the global financial crisis. This tool assesses the resilience of banks to numerous macro-financial shocks in different dimensions. In 1996, the Basel Committee on Banking Supervision (BCBS) recommended banks and investment firms to conduct stress tests to determine their ability to respond to market events. Initially, stress tests were only part of the internal self-assessment. But after the global financial crisis, some advanced economies, such as the United States, the European Union, and the United Kingdom, started stress testing for major banks. Although the Federal Reserve highlighted the use of stress tests before, these were only implemented formally in 2012 following the requirements of the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act). On the other hand, the Committee of European Banking Supervisors (CEBS) conducts annual stress tests since 2009, while the Financial Policy Committee (FPC) of the Bank of England published their first stress test results in 2014.
format Nota de Investigación
title Stress test on market risk: sensitivity of banks’ balance sheet structure to interest rate shocks
title_short Stress test on market risk: sensitivity of banks’ balance sheet structure to interest rate shocks
title_full Stress test on market risk: sensitivity of banks’ balance sheet structure to interest rate shocks
title_fullStr Stress test on market risk: sensitivity of banks’ balance sheet structure to interest rate shocks
title_full_unstemmed Stress test on market risk: sensitivity of banks’ balance sheet structure to interest rate shocks
title_sort stress test on market risk: sensitivity of banks’ balance sheet structure to interest rate shocks
publisher Banco Central de Chile
publishDate 2020
url https://hdl.handle.net/20.500.12580/4861
https://ideas.repec.org/a/chb/bcchni/v20y2017i1p072-079.html
_version_ 1718346525382279168

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