Further analysis of the stress tests in Financial Stability 2/2012
- Rønnaug Melle Johansen, Knut Kolvig, Olav Mundal and Haakon Solheim
- Staff Memo
The results of macro stress tests of banks' solvency are published twice a year in Norges Bank's Financial Stability (FS) report. The purpose of the stress tests is to assess developments in credit and market risk under different macroeconomic assumptions and the consequences of these developments for the banking system as a whole. A baseline scenario and an adverse scenario reflecting key risk factors were presented in the November report (FS 2/12). This article describes how the adverse scenario in the report is constructed and the sensitivity of the results to changes in key assumptions.
Staff Memos present reports and documentation written by staff members and affiliates of Norges Bank, the central bank of Norway. Views and conclusions expressed in Staff Memos should not be taken to represent the views of Norges Bank.
ISSN 1504-2596 (online)