Central bank stress tests

ITN report on Bank of England stress tests January 10th 2017

 

My work on the Bank of England's 2016 stress tests was aired in an ITN story on January 10th 2017: I provided ITN with the results of the stress tests that the Bank would have obtained had it used market values instead of book values.

 

Follow-up letter to Governor Carney, July 8th 2017.

 

Articles and Reports

 

No Stress II: The Flaws in the Bank of England’s Stress Testing Programme. London: Adam Smith Institute, August 3rd 2016. This report received widespread media coverage the next day: See F. Laven-Morris, “New report on Bank of England stress testing receives blanket coverage,” August 4th 2016.

 

No Stress: The Flaws in the Bank of England’s Stress Testing Programme. London: Adam Smith Institute, June 18, 2015. This report was picked up by the BBC Radio 4 Today Programme, the Financial Times and Russia Today (RT).

 

Central Bank Stress Tests: Mad, Bad and Dangerous.” Cato Journal, Vol. 35, Number 3 (Fall 2015), pp. 507-524.

 

Math Gone Mad: Regulatory Risk Modeling by the Federal Reserve. Cato Institute Policy Analysis 754, September 3, 2014.

 

Blog postings

 

"How Onerous are Basel III's Constraints on Bank Leverage?Adam Smith Institute blog, July 25th 2017.

 

"Are Bank Capital Requirements Really Ten Times Higher than Before the Crisis?" Adam Smith Institute blog, July 13th 2017.

 

"The Fiction of the 'Great Capital Rebuild'." Adam Smith Institute blog, July 6th 2017.

 

"Bank of England Stress Tests Inadvertently Reveal the Weakness of the UK Banking System." Adam Smith Institute blog, December 13th 2016.

 

"The Bank of England Fails its Stress Test, Again." Adam Smith Institute blog, December 12th 2016.

 

"Leveraging  Up on Bank Stress (II): Improving the Bank of England's Leverage Ratio Stress Test." Adam Smith Institute blog, March 24th 2016. 

 

"Leveraging  Up on Bank Stress (I): The Bank of England's Leverage Ratio Stress Test." Adam Smith Institute blog, March 16th 2016. 

 

"What Should be the Absolute Minimum Pass Standard in the Bank of England's Stress Test?" Adam Smith Institute blog, March 8th 2016. 

 

"The Bank of England's Stress Tests: An Exercise in Really Weird Accounting." Adam Smith Institute blog, January 27th 2016.

 

"An Introduction to the Bank of England's Stress Tests." Adam Smith Institute blog, January 14th 2016. 

 

"Stress Testing without the Stress - the Bank of England's Stress Tests." Adam Smith Institute blog, January 7th 2016.

 

"The Bank of England Fails its Stress Test, Again." Alt-M, January 6th 2016. 

 

"The Bank of England's Non-Convincing Non-Response to Yesterday's ASI Report on its Stress Tests." Adam Smith Institute blog, June 19th 2015. 

 

"Central Bank Stress Tests Simply Aren't Credible." Cato Podcast, June 5th 2015.

 

 "Models, Damn Models and Statistics, or Math Gone Mad." Cobden Centre Blog, December 12, 2014.