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Stress Tests of UK Banks Using a VAR Approach · Study

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PreprintStress Tests of UK Banks Using a VAR Approach

Glenn Hoggarth2005

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Preprintgreen2005

Stress Tests of UK Banks Using a VAR Approach

Glenn Hoggarth · Steffen Sørensen · Lea Zicchino

144 citations·0/0 files stored·SSRN Electronic Journal

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Banking stability, regulation, efficiency Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

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References

1998Generalized impulse response analysis in linear multivariate models 1999Unit Roots, Cointegration, and Structural Change 1999Forward-Looking Rules for Monetary Policy 2006Macroeconomic Dynamics and Credit Risk: A Global Perspective 2007Stress-Testing Financial Systems: An Overview of Current Methodologies 2000Economic Models at the Bank of England 2004Risk Assessment for Banking Systems

Cited by

2005A comparative analysis of macro stress-testing methodologies with application to Finland 2014Asset quality in a crisis period: An empirical examination of Ghanaian banks 2009Asymmetric effects of the business cycle on bank credit risk 2006Is bank portfolio riskiness procyclical?2016Nonperforming loans and bank profitability: evidence from an emerging market 2007Monetary policy and financial (in)stability: An integrated micro–macro approach 2013Macro-financial linkages in Egypt: A panel analysis of economic shocks and loan portfolio quality

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Details

Year2005

Typepreprint

Published2005-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations144

Files0 public / 0

ShelfBanking stability, regulation, efficiency

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doi10.2139/ssrn.872693

openalex_workW1925983570

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2008Macroeconomic uncertainty and banks’ lending decisions: the case of Italy