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Stress tests: useful complements to financial risk models
2 references·1 citing·14 second hop
Stress tests: useful complements to financial risk models (2019)Stress tests: useful complements to finan…Stress Testing of Real Credit Portfolios (2016)Stress Testing of Real Credit…Developing a stress testing framework based on market risk models (2008)Developing a stress testing f…Stress Testing of the Greek Banking System (2006)Stress Testing of the Greek B…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Coherent Measures of Risk (1999)A risk-factor model foundation for ratings-based bank capital rules (2003)Forecasting national activity using lots of international predictors: An application to New Zealand (2010)The dark and the bright side of liquidity risks: Evidence from open-end real estate funds in Germany (2014)Stress Testing of Financial Systems: An Overview of Issues, Methodologies, and Fsap Experiences (2001)Stress Tests of UK Banks Using a VAR Approach (2005)Stress-Testing Financial Systems: An Overview of Current Methodologies (2007)Generalized autoregressive conditional heteroskedasticity (1986)Evaluating Interval Forecasts (1998)Dynamic Conditional Correlation (2002)Integrated models of capital adequacy – Why banks are undercapitalised (2010)Quantile Uncertainty and Value‐at‐Risk Model Risk (2012)A comparison of Expected Shortfall estimation models (2014)
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References

  • 2008Developing a stress testing framework based on market risk models145 cited
  • 2016Stress Testing of Real Credit Portfolios36 cited

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  • 2006Stress Testing of the Greek Banking System23 cited

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