Print Email Facebook Twitter Stress-testing banks under deep uncertainty Title Stress-testing banks under deep uncertainty Author Islam, T. Vasilopoulos, C. Pruyt, E. Faculty Technology, Policy and Management Department Multi Actor Systems Date 2013-07-21 Abstract Years of turmoil in the banking sector have revealed the need to assess bank performance under deep uncertainty and identify vulnerabilities to different types of risks. Banks are not the safe houses of old. Today, banks are highly uncertain dynamically complex systems that are permanently at risk due to internal and external stresses and uncertainties. Although external uncertainties and stresses cannot be controlled, internal design and policies can, and hence, offer opportunities for robust redesign. This paper illustrates a System Dynamics approach towards financial stress testing in view of making banks more robust, i.e. performing more appropriately in all plausible futures, especially in the most stressful futures. A System Dynamics model is used to represent the core operation of a bank. A variety of risks and shocks are applied to the model in order to generate insights into the plausible system behaviour under stress. The clustering of the different behaviours in turn aid in the understating and explaining the variety of bank runs exhibited by the model. Subject bankingstress testexploratory modelling and analysissystem dynamicsESDMAdeep uncertaintybank risk To reference this document use: http://resolver.tudelft.nl/uuid:648921cb-946c-4cb7-8fd4-1f0aa630a9ac Publisher The System Dynamic Society ISBN 978-1-935056-12-06 Source Proceedings of the 31st International Conference of the System Dynamics Society, Cambridge, Massachusetts, USA, 21-25 July 2013 Part of collection Institutional Repository Document type conference paper Rights (c) 2013 The Authors Files PDF 306222.pdf 781.52 KB Close viewer /islandora/object/uuid:648921cb-946c-4cb7-8fd4-1f0aa630a9ac/datastream/OBJ/view