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DNB's Econometric Models

Stress test model

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Cassandra is the top-down stress test framework that DNB regularly uses to assess financial system vulnerabilities in the light of tail-risk events. Cassandra is modular in its set up and can be tailored to high-level as well as granular stress test analyses.

Within Cassandra, various model approaches are available to study how factors such as credit risk, market risk and PnL dynamics can have a final impact on the capital position of financial institutions in stress scenarios. In recent years, Cassandra has been used in various ways, such as providing analyses in the Overzicht Financiële Stabiliteit (Financial Stability Report), calculations in the context of the EBA stress test, or questions related to the financial stability implications of climate change.

Details on Cassandra are available in:

  • Daniëls, Tijmen, Patty Duijm, Franka Liedorp and Dimitris Mokas, 2017. A top-down stress testing framework for the Dutch banking sector. DNB Occasional Study 15-3 (link)

Examples of recent applications of the stress test framework include:

  • Vermeulen, R. et al., 2018. An energy transition risk stress test for the financial system of the Netherlands. DNB Occasional Study 16-7 (link)
  • DNB, 2020. A pandemic stress test for the Dutch banking sector. Financial Stability Report Spring 2020 (link) 

DNB's Econometric Models

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