Assessing financial stability: The Capital and Loss Assessment under Stress Scenarios (CLASS) model
نویسندگان
چکیده
منابع مشابه
Assessing Financial Stability: The Capital and Loss Assessment under Stress Scenarios (CLASS) Model
The CLASS model is a top-down capital stress testing framework that uses public data, simple econometric models, and auxiliary assumptions to project the effect of macroeconomic scenarios on U.S. banking firms. Through the lens of the model, we find that the total banking system capital shortfall under stressful macroeconomic conditions began to rise four years before the financial crisis, peak...
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The CLASS model is a top‐down capital stress testing framework that projects the effect of different macroeconomic scenarios on U.S. banking firms. The model is based on simple econometric models estimated using public data and also on assumptions about loan loss provisioning, taxes, asset growth, and other factors. We use this framework to calculate a projected industry capital gap relative to...
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ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2016
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2015.09.021