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Printable Handouts
Navigable Slide Index
- Introduction
- Our objectives
- Agenda
- Risk profile of central banks
- Key risks of central bank operations
- Issues for risk management: monetary policy
- Reserves management
- Payment and settlement systems
- Prudential regulation and supervision
- Issues for risk management (1)
- Issues for risk management (2)
- Review of stress testing methodology
- Why do we need stress testing? (1)
- Why do we need stress testing? (2)
- Stress testing objectives for financial institutions
- Objectives for central banks and regulators
- Stress testing individual portfolios algorithm (1)
- Stress testing individual portfolios algorithm (2)
- Stress testing individual portfolios algorithm (3)
- Stress testing recommendations before 2008
- Common practices
- Diagram of practices
- Nonconventional and innovative approaches
- Stress testing financial systems
- Approaches to stress testing financial systems
- Bottom-up (decentralized) approach
- Top-down (centralized) approach
- What makes macro stress testing different?
- Interbank exposures and contagion
- Data requirement for macro stress testing
- Examples of stress testing financial systems
- EU-wide top-down stress testing
- Top-down stress testing of Russian banks (1)
- Top-down stress testing of Russian banks (2)
- Top-down stress testing in Russia: drawbacks
- How relevant are hypothetical stress scenarios?
- Why crises are difficult to predict and model?
- Financial Sector Assessment Program (FSAP)
- FSAP stress scenarios for Russian banks (2007)
- FSAP scenarios versus real crisis (1)
- FSAP scenarios versus real crisis (2)
- FSAP scenarios versus real crisis (3)
- FSAP scenarios versus real crisis - conclusions
- Guidelines for stress testing in post-crisis era
- Recommendations of Basel committee
- Principles for banks applicable to regulators (1)
- Principles for banks applicable to regulators (2)
- Reverse stress testing
- Principles for banks applicable to regulators (3)
- Select principles for supervisors
- Conclusions and open issues
- Summary and conclusions (1)
- Summary and conclusions (2)
- Open issues and challenges
- Thank you
- References
This material is restricted to subscribers.
Topics Covered
- Risk profile of central banks
- Risk management issues at central banks
- Objectives for stress testing at financial firms, central banks and regulators
- Stress testing on portfolio level
- Pre-crisis recommendations for stress testing
- Innovative stress testing methodologies
- Stress testing financial systems
- Bottom-up and top-down approaches to macro stress testing
- Examples of top-down stress testing
- Case study: FSAP scenarios and real dimensions of crisis in Russia in 2008-09
- Select principles for sound stress testing
- Reverse stress testing
- Open issues and challenges
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Talk Citation
Lobanov, A. (2012, March 1). Modern approaches to stress testing central banks and financial systems: lessons learned from the crisis [Video file]. In The Business & Management Collection, Henry Stewart Talks. Retrieved November 13, 2024, from https://doi.org/10.69645/UYCR8683.Export Citation (RIS)
Publication History
Modern approaches to stress testing central banks and financial systems: lessons learned from the crisis
Published on March 1, 2012
70 min
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