In the post-crisis era banks’ capital adequacy is established by the Basel III capital standards and, in many jurisdictions, also by supervisory stress tests. In this paper we first describe the ways in which supervisory stress tests can supplement the risk-based capital framework of Basel III and how this could be codified with a stress test buffer. We then argue that in order to ensure coherence with the macroprudential objectives of Basel III, the severity of supervisory stress tests should be procyclical. In addition, to increase the transparency and predictability of the overall capital framework, severity choices should follow a constrained discretion approach based on a simple rule. Finally, we analyze supervisory stress testing practices across some jurisdictions and find that while the United States and the UK frameworks are in line with some of the elements of our proposal, including most notably the need for procyclical severity, this is not the case in the euro area.

中文翻译：

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在巴塞尔协议III资本框架内整合压力测试：一种宏观审慎的方法

在危机后时代，银行的资本充足率是根据《巴塞尔协议三》的资本标准建立的，在许多司法管辖区中，还通过监管压力测试来确定。在本文中，我们首先描述监管压力测试可以补充巴塞尔协议III的基于风险的资本框架的方式，以及如何将其与压力测试缓冲区进行编码。然后，我们认为，为了确保与巴塞尔协议III的宏观审慎目标保持一致，监督压力测试的严重性应该是顺周期性的。此外，为了提高总体资本框架的透明度和可预测性，严重性选择应遵循基于简单规则的约束自由裁量权方法。最后，