This paper provides a stress-test template for financial supervisors to simulate potential losses on banks’ and insurers’ balance sheets under six different COVID-19 pandemic scenarios over the next 36 months.

It develops the nature of these scenarios and provides loss estimates that can be used as inputs to analysis of banks’ and insurers’ balance sheets. While valuation losses and credit spreads have already moved dramatically in the past month, this paper is not designed to recalculate what is already modelled, but rather provide a toolkit for financial supervisors and institutions to plan for different scenarios over the next 36 months.

About our funders: This work has received support from EIT Climate-KIC.

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