The Asset Market Effects of Bank Stress-test Disclosures

Li Gu, Ke Wang and Jin Wu

On May 7, 2009, the Federal Reserve publicly released the results from the first supervisory stress test, known as Supervisory Capital Assessment Program (SCAP). These bank-specific results marked a significant departure from the standard practice of keeping bank exam information confidential. The next supervisory stress test in US was conducted for the same group of 19 bank holding companies (BHCs) in 2011, under the name of the Comprehensive Capital Analysis and Review (CCAR). However, this time the Fed only announced the completion of CCAR but did not disclose any firm-specific results. From 2012, CCAR became an annual practice and the Fed began to regularly disclose stress-testing results for individual BHCs. In 2013, Dodd–Frank Act Stress Testing (DFAST) results were added to announcements, and released about one week earlier than the CCAR results.11 DFAST and CCAR results are based on the same stressed scenarios and banks’ risk exposures, with different assumptions about banks’ capital distribution plans and balance growth. For detailed comparisons on the methodology of DFAST and CCAR, see Board of Governors of the Federal Reserve System, 2013b (available at https://www

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