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FRB Provides Additional Information on Supervisory Stress Tests

The Federal Reserve Board ("FRB") provided additional information on models developed by the FRB's latest round of supervisory stress tests. According to the FRB, disclosing such information about the modeling process can improve the "credibility of the test" and transparency with respect to the supervisory models.

The information included:

  • ranges of bank loss rates - projected using FRB models - for loans that are categorized by risk characteristics;

  • portfolios of hypothetical loans with loss rates; and

  • improved descriptions of FRB models.

Primary Sources

  1. FRB Press Release: Federal Reserve Board Releases Document Providing Additional Information on Its Stress Testing Program
  2. FRB Report: Dodd-Frank Act Stress Test 2019 - Supervisory Stress Test Methodology (March 2019)

Tags

Jurisdiction
US - Federal
Organization
US Banking Regulators
Sub-Author
Federal Reserve Board