压力测试分析方法分析.pdf

BIS Working Papers No 165 Stress-testing financial systems: an overview of current methodologies by Marco Sorge Monetary and Economic Department December 2004 Abstract This paper reviews the state-of-the-art of macro stress-testing methodologies. Substantial progress has been made both in the econometric analysis of financial soundness indicators and in the simulation of value-at-risk measures to assess system-wide vulnerabilities. However, a number of methodological challenges still remain concerning the correlation of market and credit risks over time and across institutions, the limited time horizon generally used for the analysis and the potential instability of reduced-form parameter estimates because of feedback effects. Further research in this area might also focus on how to use macro stress-testing techniques as a n operational tool to incorporate financial stability considerations into monetary policy decision-making. JEL Classificat ion Numbers: G21, G10, E37 Keywords: Macro stress-testing, financial soundness indicators, value at risk, feedback effects BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank. The views expressed in them are those of their authors and not necessarily the views of the BIS. Copies of publications are available from: Bank for International Settlements Press Communications CH-4002 Basel, Switzerland E-mail: publications@ Fax: +41 61 280 9100 and +41 61 280 8100 This publication is available on the BIS website (). © Bank for International Settlements 2004. All rights reserved. Brief excerpts may be reproduced or translated provided the source is cited. ISSN 1020-0959 (print