In the financial area, the dangers of disclosure are much greater. We are trying to evaluate what may happen to a bank’s assets under stress. If a bank has the model, it will be able to optimize its balance sheet for the day on which the stress test is to apply by shifting into assets for which relatively lower loss functions apply.
But it can then shift those assets back over succeeding days or weeks. Thus, the test will give a misleading picture of the actual vulnerabilities of the firm.