欧洲央行用于财务稳定性应用的压力测试方法的进展（英）

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