Choosing Scenarios to Estimate Resilience and Stress Test Financial Institutions

• 成果类型: Article; Early Access
• 署名作者: Arora, Rohit; Gao, Rui; Tompaidis, Stathis
• 署名单位: University of Texas System; University of Texas Austin
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2024.06126
• 发表日期: 2026
• 关键词: stress testing; conditional value at risk; scenario selection; design of experiment

摘要

We provide a systematic, data-driven methodology for choosing test scenarios among a set of potential scenarios. The test scenarios can be used to accurately estimate measures of tail risk of financial institutions, such as conditional value at risk (CVaR), and can also simultaneously be used for stress testing, that is, to identify conditions for large losses. We validate the methodology on historical data used in stress tests by the Commodity Futures Trading Commission and the Federal Reserve and connect it to the design of experiments methodology with a risk-based objective. The methodology does not require detailed knowledge of financial institutions' portfolios and can aid regulators in evaluating the resilience of multiple institutions using uniform risk assessment standards.