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欧洲央行用于财务稳定性应用的压力测试方法的进展（英）

金融2024-05-28Katarzyna Budnik、 Aurea Ponte Marques、 Saifeddine Ben Hadj欧洲央行&爱尔兰中央银行y***

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Executive Summary

This paper offers an overview of stress-testing methodologies utilized in Europe, highlighting advancements made by the European Central Bank's Financial Stability Committee Working Group on Stress Testing (WGST). Over a four-year period from 2018 to 2022, the WGST played a pivotal role in refining practices, fostering collaboration among central banks and supervisory authorities, and addressing challenges in the evolving financial landscape.

Key Developments:

Model Development: The WGST advanced various stress-testing models focusing on top-down approaches, macro-micro interactions, and system-wide stress tests. These models provide insights into credit risk, market risk, profitability, and interactions between macroprudential policies and monetary policy changes.
Integration of New Data: The team integrated 13 new datasets into their models, including transaction-level data, and started utilizing larger datasets more broadly across various applications.
Validation Efforts: Enhanced validation frameworks were implemented, comparing model performance against banks' forecasts and back-testing against past exercises to ensure accuracy and reliability.
Policy Expansion: Stress-testing methodologies have expanded beyond risk assessment, strengthening their role in policy evaluation and communication within the EU.
Collaboration and Trust Building: The WGST's collaborative efforts have demystified stress-testing methodologies, fostering trust among stakeholders through knowledge exchange and shared objectives.

Future Agenda:

The paper outlines the ongoing commitment to improving stress-testing practices, emphasizing the importance of a comprehensive validation framework and the need for continuous development and refinement of methodologies to address emerging risks.

Keywords:

Stress testing
Prudential policies
Uncertainty
Macro-financial scenarios
Basel III
COVID-19 mitigation
Impact assessment
Lending
Economic activity
Communication
Working Group on Stress Testing
Financial system model

KatarzynaBudnik,AureaPonteMarques,SaifeddineBenHadj,OanaMariaGeorgescu,CarlaGiglio,AlbertoGrassi,AghaDurrani,JuanManuelFigueres,PaulKonietschke,CatherineLeGrand,JulianMetzler,AljosaOrtl,FranciscoJavierPoblaciónGarcía, FrancesShaw,ZoeTrachana,YasmineChalf,JohannesGross,MatthiasSydow,FabioFranch OccasionalPaperSeries Advancementsinstress-testingmethodologiesforfinancialstabilityapplications No348 Disclaimer:ThispapershouldnotbereportedasrepresentingtheviewsoftheEuropeanCentralBank(ECB).TheviewsexpressedarethoseoftheauthorsanddonotnecessarilyreflectthoseoftheECB. Contents Executivesummary4 1Introduction5 2StresstestinginEurope8 2.1Evolvingusesoftop-downstresstesting8 2.2AnoverviewofWGSTdeliverablesandachievements22 3Top-downmodels24 3.1Overviewoftop-downmodels24 3.2Creditrisk:overview27 3.3Creditrisk:IFRS9parameters28 3.4Creditrisk:regulatoryparameters43 3.5Profitability47 3.6Marketrisk53 4Macro-microinteractionsandmacroprudentialstresstesting64 4.1Usesandroleofmacroprudentialstresstesting65 4.2TheBEASTmodel66 4.3Towardstheworkhorsemodel71 4.4Othermacroprudentialstress-testingframeworks72 4.5Pilotexercisesandotherfocusareas73 4.6Otherfocusareas76 5System-widestresstestingcoveringbanksandnon-bankingfinancialinstitutions 79 5.1InterconnectedSystem-widestresstestAnalytics(ISA)model80 5.2Modelapplications82 6Conclusions84 7References86 8Appendix92 8.1Creditrisk:expecteddefaultrates92 8.2Top-downtools93 Acknowledgements97 Abstract Thispaperprovidesanoverviewofstress-testingmethodologiesinEurope,withafocusontheadvancementsmadebytheEuropeanCentralBank’sFinancialStabilityCommitteeWorkingGrouponStressTesting(WGST).Overafour-yearperiod,theWGSTplayedapivotalroleinrefiningstress-testingpractices,promotingcollaborationamongcentralbanksandsupervisoryauthoritiesandaddressingchallengesintheevolvingfinanciallandscape.Thepaperdiscussesthedevelopmentandapplicationofvariousstress-testingmodels,includingtop-downmodels,macro-micromodelsandsystem-widemodels.Ithighlightstheintegrationofnewdatasetsandmodelvalidationeffortsaswellastheexpandeduseofstress-testingmethodologiesinriskandpolicyevaluationandincommunication.ThecollaborativeeffortsoftheWGSThavedemystifiedstress-testingmethodologiesandfosteredtrustamongstakeholders.Thepaperconcludesbyoutliningthefutureagendaforcontinuedimprovementsinstress-testingpractices. JELclassification:G21,G28,C58,G01,G18 Keywords:stresstesting,prudentialpolicies,uncertainty,macro-financialscenarios,BaselIII,COVID-19mitigation,impactassessment,lending,economicactivity,communication,WorkingGrouponStressTesting,financialsystemmodel. Executivesummary Thispaperprovidesacomprehensiveoverviewofstress-testingmethodologiesinEuropewithafocusontheadvancementsmadebytheEuropeanCentralBank’s(ECB’s)FinancialStabilityCommitteeWorkingGrouponStressTesting(WGST).From2018to2022,theWGSTplayedapivotalroleinadvancingstress-testingpractices,promotingcollaborationamongcentralbanksandsupervisoryauthorities,andaddressingchallengesrelatedtotheevolvingfinanciallandscapeandemergingrisks.TheWGSTsuccessfullyrefinedECBstress-testingmethodologies,ultimatelyenhancingvariousEU-widestress-testingexercises. First,thepaperoutlinesthedevelopmentandapplicationofvariousstress-testingmodels,includingtop-downmodels,macro-micromodelsandsystem-widemodels.Thetop-downmodelsfocusoncreditrisk,marketriskandprofitability,providinginsightsintodefaultprobabilities,revaluationlossesandincomesources.Themacro-micromodelsexaminetheinteractionsbetweenmacroprudentialpolicies,monetarypolicychangesandfinancialstability.Thesystem-widemodelscaptureinterconnectednessamongbanksandnon-bankingfinancialinstitutions,addressingfinancialcontagionandinterdependencies. Thedevelopmentofthemodelsreflectsevolvingpolicyexpectations,theemergenceofopportunitiessuchasnewdatasetsandgeneraleffortstoenhancerobustnessanduniversality.TheWGSTidentified16newmodelsthatwereregularlyusedinpolicyprocesses,ofwhichfivereplacedearliermodelscontainedintheStressTestAnalyticsforMacroprudentialPurposesintheEuroAreatool(STAMP€)(HenryandKok,2013;Deesetal.,2017)and11coveredareasnotaddressedbytheECBtop-downtoolkitbefore2018.Itimprovedandfurtherdevelopedfiveexistingmodels,whiletwoadditionalmodelswerereferredfortestingattheendof2022.Onthebackofmodeldevelopment,theWGSTintegrated13newdatasets,whichincludedtransaction-leveldata,andstartedtouselargedatasetsmorebroadly(inmoreapplications).Themodeldevelopmentwaspairedwitheffortstoimprovestresstestexecutionandnon-modelinfrastructure,outlierdetectionandtheanalysisofnewrisks,includingclimateandcyberrisks. Validationeffortshavebeenenhanced,withmodelperformancebeingcomparedagainstbanks’forecastsandback-testingagainstpastexercises.Thepaperemphasisestheimportanceofacomprehensivevalidationframeworkthatcombinesexanteandexpostelements,ensuringaccuracyandreliability. Second,thepaperoutlinesthebroadeneduseofstress-testingmethodologiesinthepolicyprocess.Stress-testingmethodshaveexpandedbeyondtheirinitialuseinriskassessment,strengtheningtheirroleinpolicyevaluationandcommunic

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