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Events

Home Events
economics
20Nov

“Robust Stress Testing” by Rhys Bidder

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Economics Seminar

Authors:

  • Rhys Bidder
    Federal Reserve Bank of San Francisco

  • Andrew McKenna
    Federal Reserve Bank of San Francisco

 

In recent years, stress testing has become an important component of financial and macroprudential regulation. Despite the general consensus that such testing has been useful along certain dimensions, the techniques of stress testing are still being honed. This partly reflects certain concerns that have been raised over the nature of the stress test scenarios as currently applied. In response to these concerns we propose to use the methods of Robust Control analysis to identify and construct adverse scenarios that are naturally interpretable as stress tests. These scenarios emerge from a particular pessimistic twist to a benchmark forecasting model that posits (1) a law of motion for a state and (2) the dependence of bank `performance' on this state. This pessimistic twist is often referred to as a `worst case distribution'. We will use this distribution to generate candidate scenarios and simulations for stress tests.

"Lending Concentration, Bank Performance and Systemic Risk: Exploring cross-country variation" by Thorsten Beck

Monday, 18 November 2013

"Misallocation and Productivity under Income Taxation" by Yi-Chan Tsai

Monday, 25 November 2013

Other Events

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21Jan
Faculty Level | Event
Insights for Young Leaders in a New Global Era
21 Jan 2021 | 20:00 – 21:00
Online via Facebook and Zoom
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8Jan
Accounting and Law | Seminar
“Multidimensional Information and Rational Inattention” by Ms. Keri P. Hu
Friday, 8 January 2021 | 10:40 a.m. — 12:10 p.m.
online seminar
Ms. Peicong (Keri) Hu
“Robust Stress Testing” by Rhys Bidder
Wednesday, 20 November 2013
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