Banking system stress tests are a key component of IMF/World Bank financial stability assessments.

Conditional value at risk (CoVaR) and marginal expected shortfall (MES) have been proposed as stock return based measures of the systemic risk created by individual financial institutions even though the literature provides no formal hypothesis test for detecting systemic risk. We address this...

Recent proposals have recommended important modifications to the supplemental leverage ratio (SLR) to promote the production of market liquidity and other beneficial banking activities that are alleged to have declined because of the introduction of Basel III capital regulations. A much better...

In this working paper, Paul Kupiec develops an algorithm to approximate the loss rate distribution for fixed income portfolios with obligor concentrations.

The Dodd-Frank Act (DFA) Orderly Liquidation Authority (OLA) has many legal issues that could prevent its use. Should there be a next financial crisis, regulators may again be forced to sell a large failing bank to a larger banking institution, creating yet another too-big-to-fail (TBTF)...