STRESS-TESTING METHODOLOGY FOR THE LIQUIDITY AND FINANCIAL STABILITY OF COMMERCIAL BANKS UNDER MACROECONOMIC SHOCKS
Keywords:
commercial bank, , stress testing, macroeconomic shocks, liquidity risk, financial stability, Basel III, EBA/ECB stress tests, macroprudential policy, dynamic balance sheet, network contagion.Abstract
The thesis systematises the modern methodology of stress testing the liquidity and financial stability of commercial banks under macroeconomic shocks, and proposes directions for its improvement. Stress testing is treated as an integrated framework that combines macroeconomic scenario design, translation of shocks into balance-sheet metrics, and aggregation of results into supervisory-level indicators. Drawing on the works of Borio, Drehmann and Tsatsaronis, Schuermann, Acharya, Berger and
Bouwman, Adrian and Shin, Basel Committee documents and the practices of the ECB, Federal Reserve and IMF, the paper distinguishes four generations of banking stress tests — top-down macroeconomic scenarios, bottom-up bank-by-bank projections, integrated solvency-liquidity stress tests and macroprudential system-wide stress tests.
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References
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