Since the 2009 Supervisory Capital Assessment Program (SCAP), US regulators have employed a representative bank model as the benchmark of comparison in mandatory stress test exercises. For risk management functions, a bank's own stress model must be calibrated to reflect the bank's historical...

Conditional value at risk (CoVaR) and marginal expected shortfall (MES) have been proposed as measures of systemic risk. Some argue these statistics should be used to impose a “systemic risk tax” on financial institutions. These recommendations are premature because CoVaR and MES are ad hoc...

Analysis of data on bank-specific average PPP loan size produces results that are inconsistent with a loan demand explanation. Absent good measures of PPP loan demand, the source of the observed differences in bank PPP loan activity cannot be definitively identified using bank regulatory data alone.