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MERCURE : A Macroprudential Stress Testing Model developed at the ACPR

Author

Listed:
  • B. Camara
  • F.-D. Castellani
  • H. Fraisse
  • L. Frey
  • C. Héam
  • L. Labonne
  • V. Martin

Abstract

The French Supervisory Authority got involved into macro stress testing exercises stress since the first Financial Stability Assessment Program (“FSAP”) led by the IMF in France in 2004. Along “bottom up” exercises led at the national or international level, the ACPR has developed a “top down” stress testing model. This model was primarily focused on credit risks. Over the years, its risk coverage has substantially been extended and this article provides an update. Some risks make explicitly part of a dedicated analysis –for example the risks related to banks’ retail activities. More attention is now given to contagion effects, sectorial shocks and concentration risks. Financial institutions other than banks are considered. More granular data allow for a more refined analysis.

Suggested Citation

  • B. Camara & F.-D. Castellani & H. Fraisse & L. Frey & C. Héam & L. Labonne & V. Martin, 2015. "MERCURE : A Macroprudential Stress Testing Model developed at the ACPR," Débats économiques et financiers 19, Banque de France.
    • Handle: RePEc:bfr:decfin:19
    as

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    File URL: https://acpr.banque-france.fr/fileadmin/user_upload/acp/publications/Debats_economiques_et_financiers/20151012-DEF-Mercure.pdf
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    References listed on IDEAS

    as
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    Cited by:

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    3. Paul Beaumont & Huan Tang & Éric Vansteenberghe, 2024. "Collateral Effects: The Role of FinTech in Small Business Lending [Effets collatéraux : le rôle des Fintechs dans le financement des petites et moyennes entreprises]," Débats économiques et financiers 42, Banque de France.
    4. Couaillier, Cyril & Scalone, Valerio, 2024. "Risk-to buffer: setting cyclical and structural banks capital requirements through stress test," Working Paper Series 2966, European Central Bank.
    5. Eric Monnet, & Angelo Riva, & Stefano Ungaro., 2021. "The Real Effects of Bank Runs. Evidence from the French Great Depression (1930-1931) [Les effets réels des ruées bancaires : l’exemple de la Grande Dépression en France (1930-1931)]," Débats économiques et financiers 37, Banque de France.
    6. Paul Beaumont & Huan Tang & Eric Vansteenberghe, "undated". "Effets collatéraux : le rôle des Fintechs dans le financement des petites et moyennes entreprises," Analyse et synthèse 157, Banque de France.
    7. J. Hombert & V. Lyonnet, 2017. "Intergenerational Risk Sharing in Life Insurance: Evidence from France," Débats économiques et financiers 30, Banque de France.
    8. Théo Nicolas., 2023. "Bank Market Power and Interest Rate Setting: Why Consolidated Banking Data Matte [Pouvoir de marché des banques et fixation des taux d’intérêt : de l’importance de prendre en compte les données ban," Débats économiques et financiers 40, Banque de France.

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    More about this item

    Keywords

    Stress Testing; Systemic Risk; Macroprudential Policy.;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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