In this study, we develop and demonstrate a universal framework for supervisory stress tests of financial institutions that considers the probable dependencies among macroeconomic shocks and possible regulatory intervention. The proposed differential equations model can assess the combined influence of related shocks in various markets and economic attributes on banks’ excess capital beyond minimum regulatory ratios. The suggested model allows policy makers to implement sensitivity analyses, which reveal how an examined bank’s excess capital would react to diverse economic shocks with a wide range of varying intensities. Our model can further assess the likely impact of regulatory intervention at different magnitudes and at various points in time. It can therefore help regulators to select the optimal intervention in different economic settings.

中文翻译：

---

具有相关经济冲击和可能的监管干预的通用压力测试框架

在本研究中，我们开发并展示了金融机构监管压力测试的通用框架，该框架考虑了宏观经济冲击和可能的监管干预之间可能的依赖关系。所提出的微分方程模型可以评估不同市场的相关冲击和经济属性对银行超过最低监管比率的过剩资本的综合影响。建议的模型允许政策制定者实施敏感性分析，揭示被检查银行的​​过剩资本如何应对各种强度不同的经济冲击。我们的模型可以进一步评估监管干预在不同幅度和不同时间点的可能影响。因此，它可以帮助监管机构在不同的经济环境中选择最佳干预措施。