Simulating stress across the financial system: resilience of corporate bond markets and the role of investment funds

Our Financial Stability Papers are designed to develop new insights into risk management, to promote risk reduction policies, to improve financial crisis management planning or to report on aspects of our systemic financial stability work.
Published on 12 July 2017
Stressing the financial system

Financial Stability Paper No. 42
By Yuliya Baranova, Jamie Coen, Pippa Lowe, Joseph Noss and Laura Silvestri 

This paper provides a first step in developing a system-wide stress simulation. The model incorporates several important features of the financial system. These include several types of institution (including banks and non-banks) and how their actions may propagate and amplify stress. Rather than attempting to predict outcomes of a given stress scenario for financial sector balance sheets, it seeks to explore those conditions under which systemic stress may crystallise.

PDF Download PDF

Was this page useful?
Add your details...