Designing Stress Scenarios

• 成果类型: Article
• 署名作者: Parlatore, Cecilia; Philippon, Thomas
• 署名单位: Center for Economic & Policy Research (CEPR); New York University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13422
• 发表日期: 2025
• 关键词: information acquisition; tests

摘要

We study the optimal design of stress scenarios. A principal manages the unknown risk exposures of agents by asking them to report losses under hypothetical scenarios before taking remedial actions. We apply a Kalman filter to solve the learning problem, and we relate the optimal design to the risk environment, the principal's preferences, and available interventions. In a banking context, optimal capital requirements cover losses under an adverse scenario, while targeted interventions depend on covariances among residual exposures and systematic risks. Our calibration reveals that information is particularly valuable for targeted interventions as opposed to broad capital requirements.