The static assumption in supervisory stress testing of the banking sector is a core methodological premise — it fixes balance-sheet composition and prohibits forward-looking strategic changes during the stress horizon. As the European Banking Authority makes explicit, “the EU-wide stress test is conducted on the assumption of a static balance sheet,” under which “it is assumed that banks maintain the same business mix and model … throughout the time horizon.” This means that assets and liabilities are not actively reshaped in response to stress; instead, “assets and liabilities that mature or amortise within the time horizon of the exercise should be replaced with similar financial instruments in terms of type, currency, credit quality … and original maturity as at the start of the exercise.”
Crucially, supervisors also exclude ex-ante reliance on capital or strategic responses, stating that “no capital measures taken after the reference date … are to be assumed,” and that the exercise is carried out “therefore not taking any future business strategies and management actions into account.” Together, these formulations underline that the static balance sheet assumption is not a modelling convenience but a deliberate supervisory choice to assess the resilience of the bank as it stands, before any mitigating actions are considered.
In practice, supervisors use this as a deliberate prudential lens to reveal structural vulnerability without allowing banks to “manage away” the stress through optimistic behavioural assumptions.
What “static” really means
Under the static balance sheet assumption (SBSA), the size and composition of the balance sheet at the reference date are projected forward as if there were zero net growth and no change in business mix over the stress horizon. For supervisory exercises such as the EBA EU‑wide stress test, this applies on solo, sub‑consolidated and consolidated levels, with banks required to maintain a stable portfolio by replacing maturing exposures with assets of similar type, credit quality and risk profile.
What does change under SBSA are flows and valuations: credit losses, changes in risk parameters, net interest income, fee income, market valuation impacts, and consequential movements in RWA, CET1 and other capital ratios are all projected under the adverse scenario. The balance sheet “stock” is fixed, but the income statement and capital stack are fully dynamic, so that the cumulative erosion of capital over the horizon can be measured against minimum requirements and buffers.
Seen this way, SBSA is not a computational shortcut but an explicit supervisory design choice: it removes the degrees of freedom around future balance sheet evolution in order to focus the test on the resilience of the existing risk profile and capital structure to a severe but plausible macro‑financial shock. It is particularly suited to solvency‑focused, going‑concern stress tests where the primary question is whether the current business model and balance sheet can withstand stress without breaching capital thresholds.
Conceptual foundations of static balance sheet tests
The prudential logic for “freezing” the balance sheet at the starting point is straightforward: supervisors are trying to isolate structural vulnerability from managerial adaptability. By holding business volumes and mix constant, the test asks a clean question: if this bank were unable to materially change its risk profile, would its existing capital and earnings power be sufficient to absorb the losses implied by the scenario.
This framing supports a going‑concern view of capital adequacy, consistent with Basel capital standards and Pillar 2 expectations that banks maintain sufficient loss‑absorbing capacity relative to their risk profile. SBSA emphasizes the quality and robustness of the starting capital stack, the sustainability of earnings, and the sensitivity of current exposures to macro‑financial shocks, rather than the quality of management’s future tactical responses. The approach is also aligned with the idea of capital as an ex‑ante buffer: capital must be in place before the stress hits, not implicitly created ex‑post through assumptions about asset sales, capital issuance or rapid de‑risking.
By construction, SBSA also avoids embedding an economic forecast about the bank’s future growth strategy in the stress test, which would otherwise introduce scenario‑inconsistent assumptions about credit expansion, market share gains or product shifts. From a supervisory perspective, decoupling the solvency assessment from business planning avoids conflating two different questions: is the current balance sheet resilient, and is the bank’s medium‑term strategy appropriate given its risk appetite and environment.
Benefits of the static balance sheet assumption
The dominance of SBSA in major solvency stress testing regimes reflects several interlocking benefits that go beyond “simplicity”.
Conservatism and bias reduction
SBSA introduces a structural prudential bias by preventing banks from improving stress outcomes through optimistic assumptions about future behaviour. Under a dynamic balance sheet, banks can assume rapid asset run‑off, favourable shifts into lower‑risk exposures, aggressive cost management, or timely capital issuance, all of which may not be realistically achievable in a systemic downturn.
By prohibiting such assumptions, SBSA neutralises many channels through which management optimism, model calibration choices, or franchise narratives might otherwise suppress projected losses. Federal Reserve CCAR/DFAST exercises, for example, have historically used a static balance sheet precisely to prevent banks from assuming asset shrinkage or equity issuance that would materially reduce post‑stress capital depletion. This asymmetry is deliberate: it reflects the supervisory focus on downside protection rather than expected‑case outcomes.
Cross‑bank and cross‑cycle comparability
Comparability is at the heart of system‑wide stress testing, especially in multi‑bank, multi‑country exercises such as the EBA EU‑wide stress test. If each bank could choose its own projections of balance sheet growth, business mix changes and capital actions, differences in outcomes would reflect modelling assumptions at least as much as underlying resilience.
By imposing a static balance sheet, supervisors create a common “starting grid” that allows meaningful comparison of the relative sensitivity of different banks’ portfolios and capital positions to the same scenario. The EBA makes this explicit by stating that the static balance sheet assumption is necessary to ensure a level playing field and cross‑border comparability, even for banks undergoing restructuring where business plans might in reality involve significant balance sheet changes. Over time, using the same SBSA framework across cycles also supports comparability of results across vintages, subject to scenario severity, which is valuable for tracking the strengthening or weakening of system‑wide resilience.
Transparency and auditability
SBSA enhances transparency and auditability in at least two ways. First, it drastically reduces the number of bank‑specific behavioural assumptions that need to be specified, documented, challenged, and validated. Second, it makes the mapping from scenario shocks to loss and capital outcomes more straightforward, because intermediate projections are not confounded by shifting balance sheet composition.
Supervisory methodologies such as the EBA EU‑wide stress test and the Bank of England’s Annual Cyclical Scenario (ACS) are accompanied by detailed methodological notes which articulate the static balance sheet constraint and how portfolios are rolled forward under zero growth and stable mix. This clarity facilitates internal and external scrutiny, reinforces market confidence in the integrity of the exercise, and makes it easier for Internal Audit, model risk functions, and external auditors to understand and challenge the mechanics. It also supports consistent quality assurance in bottom‑up submissions, because supervisors can focus their reviews on risk parameter projections and modelling approaches rather than on idiosyncratic business plan overlays.
Reduced model risk and behavioural assumption risk
Dynamic balance sheet stress tests require explicit modelling of management decisions and market responses: portfolio rebalancing, loan origination and run‑off, funding strategy changes, pricing adjustments, and capital management choices. Each of these behavioural dimensions creates scope for model error, calibration uncertainty and, importantly, incentive‑driven bias.
The Basel Committee’s survey of stress testing practices highlights the wide dispersion in how banks implement dynamic balance sheet assumptions, including differences in credit growth targets, deleveraging paths and dividend policies. This makes it difficult to disentangle genuine differences in resilience from modelling choices and heightens model risk. By contrast, SBSA keeps the modelling problem closer to traditional credit risk, market risk and income projection tasks, where data are richer, validation practices more mature, and methodologies more standardised. Behavioural risk is still present—for example, in deposit beta assumptions or prepayment behaviour—but it is substantially circumscribed compared with a fully dynamic setup.
Clear linkage to Pillar 2 capital and buffers
SBSA’s solvency‑centric character makes it well suited as an input into Pillar 2 capital assessments and the calibration of supervisory buffers. Many jurisdictions explicitly link stress test outcomes to capital planning, whether through formal mechanisms (for example, the Fed’s stress capital buffer framework or EBA Pillar 2 Guidance based on stress shortfalls) or through supervisory judgment in setting institution‑specific capital requirements.bankingsupervision.europa+3
Because SBSA focuses on the resilience of the existing balance sheet, it aligns with the idea that Pillar 2 capital should cover risks not fully captured in Pillar 1 but already present in the bank’s risk profile, rather than risks that might arise from future expansion. This allows supervisors to anchor capital decisions in an adverse‑but‑coherent view of how current portfolios and business models would perform, using methodologies that are broadly comparable across banks. In public disclosures, such as EBA and ECB stress test result reports, this strengthens the credibility of system‑wide messages on capital resilience, because stakeholders can see that outcomes are not diluted by hypothetical future risk‑reducing management actions.
Limitations and critiques of SBSA
The strengths of SBSA are well understood, but so are its limitations. Supervisors and practitioners increasingly recognise that SBSA is a deliberately conservative simplification, not a literal description of how banks actually behave in crises.
Unrealistic freeze on business evolution
In reality, bank balance sheets are not static over multi‑year horizons, even under stress. New lending continues (often at reduced volumes), portfolios run off, client behaviour changes, business lines are re‑priced or de‑emphasised, and strategic initiatives proceed or are postponed. SBSA, with its zero‑growth and stable‑mix constraints, ignores these dynamics.
Critics argue that this can make stress outcomes mechanically harsher than what would occur if banks could shrink riskier portfolios, re‑price credit, or adjust funding structures in response to deteriorating conditions. The objection is not that such adjustments are painless, but that SBSA assumes away an entire dimension of managerial adaptability that is central to modern risk management and recovery planning.
Overstatement of losses over long horizons
The longer the projection horizon, the more SBSA risks overstating losses relative to a realistic dynamic path. For example, keeping high‑risk exposures on balance sheet and rolling off performing assets at unchanged mix can lead to a profile where losses remain elevated even when, in practice, banks might have already curtailed origination in riskier segments or actively reduced problematic concentrations.
This issue is particularly salient in climate and structural transition stress tests with time horizons of 10 years or more, where supervisors such as the ECB and APRA have explored more dynamic or hybrid balance sheet treatments to avoid implausibly static risk profiles. While many of these exercises still implement constraints or stylised management responses, they implicitly acknowledge that SBSA becomes increasingly unrealistic as the horizon lengthens.
Disconnect from actual crisis management behaviour
Historical episodes show that banks do take significant management actions under stress: cutting dividends, raising capital, shrinking balance sheets, selling non‑core portfolios, and changing funding profiles. SBSA deliberately excludes most of these first‑order responses from the core solvency calculation. As a result, stress tests based purely on SBSA can diverge from the projected paths used in banks’ recovery plans and internal crisis playbooks, which often assume substantial restructuring and capital‑raising actions.
From a crisis management perspective, this disconnect can create communication challenges. Management may reasonably argue that the pure static‑balance‑sheet outcome is not a realistic forecast of what would happen in a real stress, because in practice they would intervene well before capital is eroded to regulatory minima. Supervisors typically respond that this is precisely the point: the test is not a forecast but a rigorous test of underlying vulnerability.
Tension with internal planning and recovery frameworks
Banks’ ICAAPs, strategic plans and recovery playbooks are inherently dynamic, embedding assumptions about growth, portfolio rebalancing, and contingency measures. When supervisory stress test outcomes based on SBSA are then used to challenge or recalibrate ICAAP capital planning, banks may perceive a tension between a static supervisory lens and their dynamic internal frameworks.
Moreover, recovery and resolution regimes, particularly in advanced jurisdictions, explicitly emphasise early intervention, recapitalisation options and balance sheet restructuring. Using static stress results as the primary reference point for capital requirements without explicitly acknowledging the role of these recovery tools can lead to claims that SBSA double‑counts prudence by ignoring credible backstops. Supervisors counter that recovery and resolution tools are indeed relevant, but they belong to a distinct stage of the prudential process, not to the measurement of baseline resilience. In that sense, the limitations of SBSA are known and accepted trade‑offs, not defects in the framework.
Why supervisors still prefer static balance sheet tests
Despite these critiques, the supervisory community continues to anchor capital adequacy assessments on SBSA, especially for large, system‑wide exercises.
Prudential asymmetry and downside focus
Prudential oversight is intentionally asymmetric: it is more concerned with avoiding tail losses and systemic crises than with capturing upside potential or median outcomes. SBSA aligns with this asymmetry by embedding a conservative stance on management behaviour—essentially assuming that banks are slower and less able to respond effectively than they might wish to believe.
From this perspective, the key policy question is not “What is the most realistic path?” but “Under a severe scenario, is there a plausible path under which the bank would breach regulatory thresholds if it did not execute its management actions perfectly?”. A static test provides a lower bound on resilience, against which the potential value of management actions can be assessed separately, rather than being automatically incorporated into the primary solvency metric.
Avoiding optimism embedded in assumptions
Supervisors are acutely aware of the risk that dynamic balance sheet assumptions can become vehicles for optimism bias, whether conscious or not. Allowing banks to assume timely and large‑scale capital issuance, favourable asset sales, or swift reallocation into lower‑risk activities can materially weaken the stringency of the test, especially when markets are assumed to remain open even in system‑wide stress.
By disallowing these assumptions in the core metrics, SBSA forces both banks and supervisors to confront a more demanding counterfactual: the resilience of the franchise before remedial measures. If management actions are credible, they can be recognised in a second stage; if they are unrealistic, they should not be allowed to obscure structural weakness. This separation avoids the “pre‑approval” of optimistic management narratives embedded in stress test design.
Reluctance to pre‑approve management actions ex‑ante
Making dynamic actions part of the core stress mechanics implicitly requires supervisors to vet and validate detailed assumptions about timing, feasibility, and market conditions for each bank’s proposed responses. Doing so ex‑ante at scale is difficult, and there is a risk that approval of a bank’s dynamic assumptions could be misinterpreted as regulatory endorsement of its crisis strategy.
Supervisors therefore prefer to draw a clear line: the stress test result under SBSA is a supervisory assessment of underlying resilience; management actions are subject to separate review through ICAAP, recovery planning, and ongoing supervisory dialogue. This preserves decision‑making flexibility, avoids the appearance of supervisory guarantees around specific capital‑raising or deleveraging plans, and reduces legal and reputational risk if circumstances evolve differently from those envisaged at the time of the test.
Distinguishing resilience measurement from response planning
Ultimately, SBSA supports a conceptual distinction between measuring resilience and planning the response. The former asks whether existing capital and earnings are sufficient to absorb losses under adverse conditions; the latter asks how management would act if resilience proved inadequate. Conflating the two in a single dynamic test undermines the clarity of the solvency signal and complicates the translation of results into capital requirements and supervisory expectations.
By keeping the core test static, supervisors maintain a robust and tractable metric for solvency under stress, while leaving room to consider management actions in a structured way once the underlying vulnerability has been quantified. This sequencing is at the heart of current supervisory practice in major jurisdictions, even where complementary dynamic or hybrid analyses are explored for specific risks such as climate or sectoral concentration.
Dynamic management actions as post‑stress‑test risk mitigation
Within this supervisory paradigm, dynamic management actions are not ignored, but they are deliberately treated as second‑stage mitigants rather than embedded assumptions.
Second‑stage responses to a quantified shortfall
Once a static stress test reveals a projected capital shortfall relative to regulatory minima and buffers, the natural next question is how that shortfall would be addressed. Management actions—capital injections, asset disposals, deleveraging, liability management exercises, dividend cuts and expense reductions—become the focus at this stage.
Supervisors expect banks to demonstrate, through ICAAPs and recovery plans, that they have credible and timely actions that could restore capital ratios and liquidity metrics if adverse conditions materialised. However, these actions are typically assessed conditional on the static stress outcome, not pre‑loaded into the test itself. This ordering ensures that the underlying vulnerability is transparently visible, and that the impact of each management action is evaluated on its own merits rather than disappearing into model calibration.
Part of remediation, recovery and dialogue
Dynamic actions belong to the toolkit of remediation, recovery and, in severe cases, resolution. Many supervisory frameworks require banks to maintain recovery plans that set out options such as rights issues, AT1 issuance, asset sales, business disposals, cost‑cutting programmes, and liability management exercises, together with indicative timelines and impact estimates.
When a static stress test highlights a potential vulnerability, supervisors may require banks to update their recovery plans, adjust capital targets, or implement pre‑emptive risk‑mitigating actions, such as tightening underwriting standards or strengthening liquidity buffers. These discussions are iterative and institution‑specific, reflecting governance quality, execution capacity, and market conditions. Treating dynamic actions as part of this supervisory dialogue, rather than as embedded model assumptions, allows for nuanced judgement and adaptation as circumstances evolve.
Conditional on governance, feasibility and market access
A key reason for keeping dynamic actions out of the core stress mechanics is that their effectiveness depends critically on factors that are hard to model: governance, decision‑making speed, market access, investor sentiment, and macro‑financial conditions at the time of the stress. For instance, a plan to raise equity capital may be plausible in benign conditions but unrealistic in a system‑wide downturn where valuations are depressed and risk appetite is low.
Supervisors therefore evaluate proposed management actions through lenses such as past execution track record, the robustness of contingency planning, and the realism of assumed market windows, rather than treating them as deterministic adjustments to projected capital ratios. This conditional approach respects the centrality of governance and market dynamics in crisis response, while avoiding the false precision that would come from hard‑coding such actions into stress models. The sequence is clear: first reveal the vulnerability under static assumptions; then explore how credible dynamic actions could mitigate it, subject to prudent scepticism.
Static vs dynamic: a supervisory sequencing framework
A useful way to reconcile static and dynamic perspectives is to view them as stages in a supervisory sequencing framework, rather than competing paradigms.
Step 1: Static stress to identify capital shortfall
The starting point is a static balance sheet solvency stress test, usually over a multi‑year horizon, using adverse macro‑financial scenarios calibrated to be severe but plausible. The outcome is a projection of capital ratios assuming no material change in business volumes or mix, subject to prescribed capital distribution constraints (for example, dividends capped at a percentage of earnings or zero).
This step provides a clear measure of the bank’s intrinsic resilience: the difference between post‑stress capital ratios and applicable minima and buffers. Where the projected shortfall is large or the trajectory involves breaching thresholds, the static test signals the need for supervisory attention and potential remedial measures.
Step 2: Supervisory capital assessment
Supervisors then use static stress outcomes as one key input into the overall capital assessment, alongside other risk analyses, qualitative assessments, and forward‑looking considerations. This may lead to Pillar 2 requirements or guidance, institution‑specific buffer add‑ons, or expectations for management to operate above regulatory minima by a certain margin.
The important point is that the capital assessment is based on a stress metric that is not diluted by hypothetical management actions, ensuring that buffers are calibrated to underlying risk rather than to optimistic assumptions about future behaviour. This preserves the integrity of the capital framework and avoids double‑counting resilience by both assuming mitigating actions and setting capital to cover residual risk.
Step 3: Evaluation of credible management actions
Once the supervisory capital view is formed, attention turns to how management would respond to the stressed conditions and what additional comfort their plans provide beyond the static baseline. Here, dynamic analyses can be run as overlays: for example, scenario‑specific recovery simulations that apply a sequence of management actions to the static outcome and estimate the potential restoration of capital and liquidity ratios.
Supervisors can then judge the credibility of these actions, challenge overly optimistic elements, and, where appropriate, factor credible mitigants into their overall risk assessment. The sequencing is critical: dynamic actions are evaluated after, not instead of, the static metric, and their impact is not automatically translated into lower capital requirements.
Step 4: Ongoing monitoring and enforcement
Finally, the static‑dynamic framework feeds into ongoing supervision: monitoring of capital and liquidity metrics, review of ICAAPs and ILAAPs, thematic reviews of stress testing, and follow‑up on recovery and remediation commitments. Where banks fall short of expectations, supervisors may require capital increases, restrictions on distributions, adjustments to risk appetite, or changes in governance and risk management.
This end‑to‑end sequence—static test, capital assessment, management action evaluation, and ongoing oversight—helps avoid both double‑counting and blind spots. It ensures that static tests remain a hard prudential anchor, while still providing room for dynamic perspectives in planning and supervisory engagement.
Static vs dynamic stress testing
| Dimension | Static balance sheet stress test | Dynamic balance sheet stress test |
| Balance sheet treatment | Size and composition held constant; zero growth and stable mix. eba.europa+1 | Volumes and mix evolve with assumed management actions and market conditions. bis+1 |
| Primary purpose | Measure resilience of current risk profile and capital stack. bis+1 | Explore joint evolution of business model, risk and capital under scenarios. bis+1 |
| Prudential stance | Conservative, downside‑biased, focused on lower‑bound resilience. bis+1 | More realistic but sensitive to optimistic assumptions. bis+1 |
| Comparability | High cross‑bank comparability in system‑wide exercises. eba.europa+1 | Lower comparability due to heterogeneous behavioural modelling. bis+1 |
| Model and behavioural risk | Lower behavioural assumption risk; narrower modelling scope. bis+1 | Higher model risk; heavy reliance on behavioural and market assumptions. bis+1 |
| Role in capital setting | Core input into Pillar 2 and buffer calibration. bom+1 | Typically used as supplementary, scenario‑planning or internal tool. bis+1 |
Policy implications and best practices
The supervisory preference for SBSA has practical implications for ICAAP design, stress‑testing governance, board engagement and external communication.
ICAAP design and integration
For ICAAP owners, the key challenge is to reconcile a supervisory SBSA lens with internal dynamic planning. A sound approach is to use static balance sheet stress tests as the foundation for internal capital adequacy assessments, ensuring that core solvency metrics and capital targets are robust to SBSA‑based scenarios at least as severe as those used by supervisors.
On top of this foundation, banks can run complementary dynamic balance sheet analyses for strategic planning, portfolio optimisation, and recovery option evaluation, clearly labelling these as internal overlays rather than substitutes for SBSA‑based solvency metrics. This dual‑layer structure supports both regulatory alignment and business relevance: static tests inform minimum capital and buffer decisions, while dynamic scenarios inform how the bank might steer its balance sheet over time.
Stress‑testing governance and model architecture
Governance frameworks should explicitly distinguish between static supervisory‑aligned stress tests and dynamic internal tests, with clear ownership, documentation and validation expectations for each. For static tests, models should focus on risk parameter estimation, income and cost projections, and capital dynamics under prescribed balance sheet assumptions, with strong validation and back‑testing where possible.
Dynamic frameworks, by contrast, should be governed more like strategic planning tools, with scenario design and management action assumptions subject to rigorous challenge by Risk, Finance and Internal Audit. Institutions should avoid “blurring” the two layers in governance documents; instead, they should articulate how static and dynamic views are used together in decision‑making, including in setting risk appetite, dividend policy and contingency buffers.
Board understanding of stress results
Boards and senior management need a clear narrative about what SBSA‑based stress results mean—and what they do not mean. Board papers should explain that static stress outcomes are not forecasts of actual crisis trajectories, but disciplined tests of underlying vulnerability assuming limited scope for de‑risking or capital raising.
At the same time, boards should see analyses of how credible management actions could change the trajectory, including realistic constraints and execution risks. Presenting both the static “unmitigated” view and dynamic mitigated paths helps boards understand the bank’s true risk‑bearing capacity and the importance of preparedness, governance and market access.
Communication with supervisors and markets
Externally, communication with supervisors and markets should respect the primacy of SBSA for prudential metrics while acknowledging the role of management actions. Supervisory disclosures such as EBA and ECB stress test reports emphasise that scenarios are hypothetical, not forecasts, and that tests are conducted under static balance sheet assumptions. Banks should avoid presenting internal dynamic stress results as if they were directly comparable to published supervisory metrics, unless methodology differences are transparently explained.
In engagement with supervisors, banks can use dynamic analyses to demonstrate that they have thought through realistic contingency actions and recovery options, but they should not expect these to automatically offset capital requirements or stress‑based add‑ons. In investor communication, banks may choose to highlight their capacity to manage through stress, but they should be cautious not to downplay the static stress results that underpin supervisory capital expectations.
Conclusion
The static balance sheet assumption is best understood as a foundational prudential lens, not as an anti‑business constraint or a modelling artefact. By freezing the balance sheet and letting losses, income and capital evolve under adverse scenarios, SBSA isolates structural vulnerability, supports comparability, and anchors capital assessments in conservative yet transparent metrics.
Dynamic management actions remain central to real‑world crisis management, but from a supervisory standpoint they belong after the static stress test, as conditional mitigants assessed through ICAAPs, recovery planning and supervisory dialogue rather than as embedded model assumptions. This sequencing protects against optimism bias, avoids double‑counting resilience, and preserves supervisory discipline, while still giving full weight to governance quality and management capability in the overall assessment of bank soundness.
- https://www.eba.europa.eu/sites/default/files/2024-07/3bd993e0-8678-40ac-9fba-9b8a6bf03f44/2025%20EU-wide%20stress%20test%20-%20Methodological%20Note.pdf
- https://www.bis.org/bcbs/publ/d427.pdf
- https://torontocentre.org/index.php?option=com_content&view=article&id=487&Itemid=99
- https://www.dirittobancario.it/wp-content/uploads/2024/07/Nota-metodologica-EBA-5-luglio-2024.pdf
- https://www.managementsolutions.com/sites/default/files/publicaciones/eng/202012-2021-eu-wide-stress-test.pdf
- https://iusblog.com/2024/07/ebas-2025-eu-wide-stress-test-methodological-note/
- https://www.bankingsupervision.europa.eu/ecb/pub/pdf/ssm.Report_2025_Stress_Test_202508.en.pdf
- https://www.bom.mu/sites/default/files/guideline_on_stress_testing.pdf
- https://www.bundesbank.de/resource/blob/867670/aa6f1d612da1a8a1aab8814555e99b6a/mL/2021-06-11-dkp-19-data.pdf
- https://www.centralbank.org.bz/docs/default-source/basel-policy-documents/basel-pillar-2-supervisory-review-process/stress-testing-principles.pdf?sfvrsn=2fbb9ce8_8
- https://www.linkedin.com/pulse/static-versus-dynamic-balance-sheet-supervisory-stress-roy-ubxwf
- https://www.eba.europa.eu/sites/default/files/document_library/Risk%20Analysis%20and%20Data/EU-wide%20Stress%20Testing/2023/Scenarios/1051436/2023%20EU-wide%20stress%20test%20-%20Methodological%20Note.pdf
- https://www.bde.es/f/webbde/GAP/Secciones/SalaPrensa/InformacionInteres/EBA/Arc/Fic/2014-04-29-EBAmethodological-note.pdf
- https://www.eba.europa.eu/documents/10180/2282644/2b604bc8-fd08-4b17-ac4a-cdd5e662b802/Guidelines%20on%20institutions%20stress%20testing%20(EBA-GL-2018-04).pdf
- https://www.bankofengland.co.uk/-/media/boe/files/paper/2020/december/gl-institutions-stress-testing.pdf
- https://acpr.banque-france.fr/en/press-release/results-2025-stress-tests-led-eba-and-ecb
- https://www.afme.eu/media/mmvhzvzo/afmeclimaterisk202309.pdf
- https://elischolar.library.yale.edu/cgi/viewcontent.cgi?article=1216&context=ypfs-documents
- https://www.cbb.gov.bh/wp-content/uploads/2019/01/Feedback-statement_Stress-testing.pdf
- https://climatex.substack.com/p/climate-stress-test-regulations-tips
Links to some of my previous articles:
- Static versus Dynamic Balance Sheet Supervisory Stress Testing: A Case for Constrained Dynamism – SSRN
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5072279 - Stress Testing in Financial Sector: Promise and Perils of Model Validation – LinkedIn
https://www.linkedin.com/pulse/stress-testing-financial-sector-promise-perils-model-validation-roy-uyqyf - Enhancing Supervisory Stress Testing: Model Validation by the IMF – LinkedIn
https://www.linkedin.com/pulse/enhancing-supervisory-stress-testing-model-validation-dr-sunando-roy-m8sof - Resilience As Strategy: Stress Testing Geopolitical Risk – LinkedIn
https://www.linkedin.com/pulse/resilience-strategy-stress-testing-geopolitical-risk-dr-sunando-roy-49o2f - LCR as Supervisory Anchor: Liquidity Stress Testing in Central Banks – LinkedIn
https://www.linkedin.com/pulse/lcr-supervisory-anchor-liquidity-stress-testing-central-roy-3mhff - Sunando Roy – On Banking, Finance and Society (website index of writings)
https://sunandoroy.org
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