Working Paper

Measuring the Severity of Stress-Test Scenarios


Abstract: This note presents a simple methodology for measuring the severity of stress-test scenarios, which relies on a comparison of scenario developments with historically stressful episodes--specifically, recessions and house-price retrenchments.

https://doi.org/10.17016/2380-7172.1970

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Provider: Board of Governors of the Federal Reserve System (U.S.)

Part of Series: FEDS Notes

Publication Date: 2017-05-05

Number: 2017-05-05