Board of Governors of the Federal Reserve System

Introduction

This document provides details about the models developed or selected by the Federal Reserve for use in the supervisory stress test. Transparency of the stress test models improves the public's understanding of the models used in the supervisory stress test while maintaining the efficacy of the test.²

This document is organized into the following sections:

• " Approach to Supervisory Model Development and Validation" provides an overview of the general approach to supervisory model development and validation in stress testing.
• " Overview of Modeling Framework" summarizes the supervisory modeling framework and methodology.
• " Descriptions of Supervisory Models" includes detailed descriptions of the supervisory stress test models.
• " Modeled Loss Rates" contains additional disclosures for certain material portfolios, including modeled loss rates on pools of loans and loss rates associated with portfolios of hypothetical loans.
• " Appendix A: Model Changes for the 2022 Supervisory Stress Test" describes the supervisory model changes effective for the 2022 supervisory stress test.
• Finally, " Appendix B: Templates for the 2022 Supervisory Stress Test Results."

 

References

 

 2. In 2019, the Board finalized a set of changes to its disclosure of model methodologies to facilitate the goal of improving the public's understanding of the supervisory stress test models. However, the models themselves continue to not be published in full. The disclosures in this document have been developed to increase the transparency of the supervisory stress test while maintaining its dynamism and effectiveness. See 84 Fed. Reg. 6651, 6664, 6784 (February 28, 2019). Return to text