Research Discussion Paper – RDP 2022-03 Macrofinancial Stress Testing on Australian Banks
Nicholas Garvin, Samuel Kurian, Mike Major and David Norman
September 2022
Contents
- Introduction
- Model Framework
- Credit Loss Modelling
- Capital and Asset Growth
- Contagion Modelling and Feedback Loops
- How the Model Was Used during COVID-19
- Future Work
- Appendix A: Model Specifications
- References
The authors would like to thank current and former staff members that helped with the early development of this model: particularly In Song Kim, Dilhan Perera and Calvin Yap. We are also grateful to Michelle Lewis, Grant Turner, John Simon, Jonathan Kearns, Callan Windsor and RBA seminar participants for helpful comments on this paper. We are also deeply indebted to staff at APRA – most notably Stephen Fay and Benjamin Young – for their invaluable insights on the model and stress testing more generally. The views expressed in this paper are those of the authors and do not necessarily reflect the views of the Reserve Bank of Australia or the Australian Prudential Regulation Authority. The authors are solely responsible for any errors.