Stress test on market risk: sensitivity of banks’ balance sheet structure to interest rate shocks

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dc.bcentral.destacadoMartínez S., Juan F.
dc.bcentral.destacadoOda Z., Daniel A.
dc.date.accessioned2020-05-27T19:37:11Z
dc.date.available2020-05-27T19:37:11Z
dc.date.issued2017-04
dc.description.abstractStress tests, applied to the banking system, have been a tool widely used by several private and governmental institutions at the international level, especially after the global financial crisis. This tool assesses the resilience of banks to numerous macro-financial shocks in different dimensions. In 1996, the Basel Committee on Banking Supervision (BCBS) recommended banks and investment firms to conduct stress tests to determine their ability to respond to market events. Initially, stress tests were only part of the internal self-assessment. But after the global financial crisis, some advanced economies, such as the United States, the European Union, and the United Kingdom, started stress testing for major banks. Although the Federal Reserve highlighted the use of stress tests before, these were only implemented formally in 2012 following the requirements of the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act). On the other hand, the Committee of European Banking Supervisors (CEBS) conducts annual stress tests since 2009, while the Financial Policy Committee (FPC) of the Bank of England published their first stress test results in 2014.es_ES
dc.format.pdf
dc.format.extentSección o Parte de un Documento
dc.format.mediump. 080-098
dc.identifier.issn0717-3830
dc.identifier.urihttps://hdl.handle.net/20.500.12580/4861
dc.identifier.urihttps://ideas.repec.org/a/chb/bcchni/v20y2017i1p072-079.html
dc.language.isoenes_ES
dc.publisherBanco Central de Chilees_ES
dc.relation.ispartofEconomía chilena, vol. 20, no. 1
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 Chile*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/cl/*
dc.subjectRIESGO FINANCIEROes_ES
dc.subjectTASAS DE INTERÉSes_ES
dc.titleStress test on market risk: sensitivity of banks’ balance sheet structure to interest rate shockses_ES
dc.type.docNota de Investigación

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