Global Bank Stress Test-2021-11-08-CEF

What is a Global Bank Stress test
• Global bank solvency stress test of impact of pandemic shock- scenario-based stress test of
individual banks in 33 major banking systems
• Motivation: unprecedented pandemic shock
• Publicly-available data: annual frequency (1995-2019); consolidate, less granular data
• Methodology: simpler than usual in FSAPs: bank level econometric models that link main drivers
of income statements to scenarios
• Scenarios: Baseline WEO; Adverse scenarios based on RES adverse scenarios simulated using
FSGM (any other global and complete adverse scenario model will also work)
• No direct policy offset: Macro and sectoral policies to support borrowers captured in scenarios;
the analysis is aggregate and does not explicitly capture the effects of sectoral policies on banks’
balance sheets
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