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How to Find Plausible, Severe and Useful Stress Scenarios

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References

2004Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model1,461 cited
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2001Modeling Regional Interdependencies Using a Global Vector Error-Correcting Macroeconometric Model167 cited
1998Stress Testing in a Value at Risk Framework161 cited

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2012Systematic stress tests with entropic plausibility constraints102 cited
2011A systematic approach to multi-period stress testing of portfolio credit risk94 cited
2015Dynamical macroprudential stress testing using network theory84 cited
2020Banking stress test effects on returns and risks83 cited
2013Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers77 cited
2013Stress tests to promote financial stability: Assessing progress and looking to the future49 cited
2011Macro stress testing of credit risk focused on the tails42 cited
2011Multivariate stress scenarios and solvency41 cited
2013Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights40 cited
2012Stress Scenario Selection by Empirical Likelihood39 cited
2012

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Enhanced Stress Testing and Financial Stability

30 cited

2018Predicting European bank stress tests: Survival of the fittest27 cited

2014Macroeconomic Credit Risk Factors in Poland’s Banking Sector25 cited