Document / Publication

  • Do more with your content!Discover PreventionWeb Services
  • Stress testing COVID-19

    Email sent!

    An email has been sent to the email addresses provided, with a link to this content.

    Thank you for sharing!


Stress testing COVID-19

Source(s):  2° Investing Initiative

This paper provides a stress-test template for financial supervisors to simulate potential losses on banks’ and insurers’ balance sheets under 6 different COVID-19 pandemic scenarios over the next 36 months. It develops the nature of these scenarios and provides loss estimates that can be used as inputs to analysisof banks’ and insurers’ balance sheets. While valuation losses and credit spreads have already moved dramatically in the past month, this paper is not designed to recalculate what is already modelled but rather provide a toolkit for financial supervisors and institutions to scenario plan the next 36 months.

The stress-test scenarios cannot unfortunately enjoy a back office of a team of modellers developing scenarios over time and testing and calibrating them to ensure stress-test scenarios for this pandemic are ready and off the shelf. Unfortunately, financial supervision by and large still remains wedded to traditional stress-test formats without ensuring preparedness to existential and ‘long-term risks’, ofwhich pandemic is one. Long-term risks in this context are in the “point in time” category (see Fig. below), which relates to 1 in 1000 type events which are very unlikely to happen at any given point but very likely to happen at some point.

Add this content to your collection!

Enter an existing tag to add this content to one or more of your current collections. To start a new collection, enter a new tag below.

See My collections to name and share your collection
Back to search results to find more content to tag

Log in to add your tags
  • Stress testing COVID-19
  • Publication date 2020
  • Number of pages 30 p.

Please note:Content is displayed as last posted by a PreventionWeb community member or editor. The views expressed therein are not necessarily those of UNDRR PreventionWeb, or its sponsors. See our terms of use