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A Market-Based Approach to Reverse Stress Testing the Financial System
This article investigates market scenarios that lead to extreme losses in international financial markets. We propose two systemic measures: (1) identifying the foreign event among those with equal probability leading to the worst outcome for the domestic financial system; and (2) classifying tail returns of financial institutions into four groups based on whether losses occur alongside domestic institutions only, foreign institutions only, both, or neither. Using 20 years of weekly equity returns from over 150 institutions across four developed financial systems, results highlight the central role of US and European institutions, with growing importance for Canada and non-bank financial intermediaries.
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