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|Other Titles: ||Developing Stress Testing Programs for Taiwan's Banking Industry from the Lessons of the U.S. "Supervisory Capital Assessment Program"|
Stress test;Supervisory Capital Assessment Program;Basel II;Supervisory Review
|Issue Date: ||2015-01-12 11:11:39 (UTC+8)|
By reviewing the objectives, scope, methodologies, data, implementation, and disclosure of stress testing programs, this paper first compared the U.S. "Supervisory Capital Assessment Program (SCAP)" with the stress testing program that had been implemented in Taiwan's banking industry under Pillar 2 of Basel II. From the comparisons, this paper found that the most challenging problem facing Taiwan’s financial sector and supervisors was that they had no sufficient experience in implementing macro stress tests. Therefore, this paper analyzed the stress test cases implemented in the UK, US, and Committee of European Banking Supervisors (CEBS), reviewed the relevant stress testing models developed for Taiwan's banking industry, and then, tried to conduct an exploratory research to draft a workable stress testing proposal that could be implemented in the near future to examine the financial soundness of Taiwan's banks under the possible stress events of financial crises and the Influenza A (H1N1) outbreak. In the proposal, the most important suggestion was to set up a "Stress Testing Program Task Force" to integrate all the relevant financial supervisory resources and bank practitioners. With a platform to communicate and exchange the ideas about scenario and model settings, the Task Force could develop benchmark models to help assess banks' stress test results and try its best to minimize the model risks involved in the stress testing. Second, it was not recommended to disclose results to the public in such detail as the case in the SCAP. Finally, the proposal suggested making the Task Force keep functioning so as to regularly update the stress scenarios and models and evaluate the performance of the stress tests.
|Relation: ||台灣金融財務季刊, 10(4), 159-206|
|Data Type: ||article|
|Appears in Collections:||[財務管理學系] 期刊論文|
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