Stress Testing of US Banks

[Angshuman]

Hi David,
I am looking for a bit detailed on the methodology and implementation (excel spread sheet) on the stress testing methodology adopted by Federal Reserve. Meanwhile there is a paper in the IMF website also dated back in 2007 'Introduction to Applied Stress Testing' by Martin Cihak. IMF also gives a link for a hands on tool:

http://www.ifc.org/ifcext/economics.nsf/AttachmentsByTitle/CON_Overview2008_MaechlerSpreadsheet/$FILE/11_Maechler_StressTestWorksheet.xls

However the same link doesn't work. Any idea on the same?
My questions are:
1.How far the two methods are similar?
2. How to link Macro Economic Stress Factors with a bank specific capital?

Can you please help on the same?

Regards,
Angshuman

 

[David Harper CFA FRM]

Hi Angshuman - It's very interesting to me personally, but I can't take a look at this until after the exam. I need to spend all my time on exam-related matters for customers...of course, stress testing is an exam topic, but under the current format (2009) the Fed's approach isn't on the table (I hope it appears next year! or, at least more detail on stress testing)...i'll be glad to look after the exam, if that's not too late for you - David