SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Stress Tests of UK Banks Using a VAR Approach
7 references·16 citing·48 second hop
Stress Tests of UK Banks Using a VAR Approach (2005)Stress Tests of UK Banks Using a VAR Appr…Stress-Testing Financial Systems: An Overview of Current Methodologies (2007)Stress-Testing Financial Syst…Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Macroeconomic Dynamics and Cr…Risk Assessment for Banking Systems (2004)Risk Assessment for Banking S…Economic Models at the Bank of England (2000)Economic Models at the Bank o…Unit Roots, Cointegration, and Structural Change (1999)Unit Roots, Cointegration, an…Forward-Looking Rules for Monetary Policy (1999)Forward-Looking Rules for Mon…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Determinants of Non-Performing Loans: Evidence from the Jordanian Banking Sector (2017)Determinants of Non-Performin…Nonperforming loans and bank profitability: evidence from an emerging market (2016)Nonperforming loans and bank …A Top-down Approach to Stress-testing Banks (2015)A Top-down Approach to Stress…What Influences Banks Lending in Sub-Saharan Africa? (2014)What Influences Banks Lending…Asset quality in a crisis period: An empirical examination of Ghanaian banks (2014)Asset quality in a crisis per…Macro-financial linkages in Egypt: A panel analysis of economic shocks and loan portfolio quality (2013)Macro-financial linkages in E…Economic Determinants of Non-Performing Loans: Perception of Pakistani Bankers (2012)Economic Determinants of Non-…AN ARDL APPROACH TO THE DETERMINANTS OF NON- PERFORMING LOANS IN ISLAMIC BANKING SYSTEM IN MALAYSIA (2011)AN ARDL APPROACH TO THE DETER…Macroeconomic stress-testing banks: a survey of methodologies (2009)Macroeconomic stress-testing …Asymmetric effects of the business cycle on bank credit risk (2009)Asymmetric effects of the bus…Macroeconomic uncertainty and banks’ lending decisions: the case of Italy (2008)Macroeconomic uncertainty and…Monetary policy and financial (in)stability: An integrated micro–macro approach (2007)Monetary policy and financial…Modelling Scenario Analysis and Macro Stress-testing (2006)Modelling Scenario Analysis a…Is bank portfolio riskiness procyclical? (2006)Is bank portfolio riskiness p…Fundamentals-Based Estimation of Default Probabilities - A Survey (2006)Fundamentals-Based Estimation…A comparative analysis of macro stress-testing methodologies with application to Finland (2005)A comparative analysis of mac…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)International house prices and macroeconomic fluctuations (2009)On portfolio optimization: Imposing the right constraints (2012)Corruption and bank risk-taking: Evidence from emerging economies (2015)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Bank Runs, Deposit Insurance, and Liquidity (1983)Coherent Measures of Risk (1999)Stress Testing Credit Risk: A Survey of Authorities' Approaches (2009)The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application (2009)Macroeconomic and Bank-Specific Determinants of Non-Performing Loans: Evidence from Nepalese Banking System (2018)Macroeconomics and Reality (1980)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Initial conditions and moment restrictions in dynamic panel data models (1998)Econometric Analysis of Cross Section and Panel Data (2001)Intellectual capital and bank productivity in emerging markets: evidence from Ghana (2016)What drives credit risk in the Indian banking industry? An empirical investigation (2018)Banks’ credit risk, systematic determinants and specific factors: recent evidence from emerging markets (2022)Financial Contagion (2000)Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank (2000)Systemic Risk in Financial Systems (2001)The simple economics of bank fragility (2004)Assessing Financial Contagion in the Interbank Market: Maximum Entropy Versus Observed Interbank Lending Patterns (2007)Introduction to Applied Stress Testing (2007)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Market conditions, default risk and credit spreads (2009)Non-Performing Loans: What Matters in Addition to the Economic Cycle? (2013)Key Determinants of Non-performing Loans: New Evidence from a Global Sample (2015)Robustness properties of a rule for monetary policy (1988)Inflation Targeting: A New Framework for Monetary Policy? (1997)Nominal income targeting in an open-economy optimizing model (1999)One Decade of Inflation Targeting in the World: What Do We Know and What Do We Need to Know? (2001)Historical monetary policy analysis and the Taylor rule (2003)Financial development and economic growth: evidence from panel unit root and cointegration tests (2003)International Technology Diffusion (2004)Energy consumption, income, and carbon emissions in the United States (2006)The Concept, Policy Use and Measurement of Structural Unemployment (2000)Optimal horizons for inflation targeting (2001)Can Monetary Policy Affect the Real Economy? (2002)New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability (2007)Macroeconomic Determinants of Bad Loans: Evidence from Italian Banks (2011)Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challenges, and a Way Forward (2011)
this work references cited by second hop

References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1999Unit Roots, Cointegration, and Structural Change1,842 cited
  • 1999Forward-Looking Rules for Monetary Policy507 cited
  • 2006Macroeconomic Dynamics and Credit Risk: A Global Perspective408 cited
  • 2007Stress-Testing Financial Systems: An Overview of Current Methodologies225 cited
  • 2000Economic Models at the Bank of England166 cited
  • 2004Risk Assessment for Banking Systems154 cited

Cited by

  • 2005A comparative analysis of macro stress-testing methodologies with application to Finland141 cited
  • 2014Asset quality in a crisis period: An empirical examination of Ghanaian banks136 cited
  • 2009Asymmetric effects of the business cycle on bank credit risk114 cited
  • 2006Is bank portfolio riskiness procyclical?103 cited
  • 2016Nonperforming loans and bank profitability: evidence from an emerging market98 cited
  • 2007Monetary policy and financial (in)stability: An integrated micro–macro approach98 cited
  • 2013Macro-financial linkages in Egypt: A panel analysis of economic shocks and loan portfolio quality92 cited
  • 2008Macroeconomic uncertainty and banks’ lending decisions: the case of Italy

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

89 cited
  • 2012Economic Determinants of Non-Performing Loans: Perception of Pakistani Bankers84 cited
  • 2017Determinants of Non-Performing Loans: Evidence from the Jordanian Banking Sector77 cited
  • 2011AN ARDL APPROACH TO THE DETERMINANTS OF NON- PERFORMING LOANS IN ISLAMIC BANKING SYSTEM IN MALAYSIA71 cited
  • 2015A Top-down Approach to Stress-testing Banks68 cited
  • 2009Macroeconomic stress-testing banks: a survey of methodologies56 cited
  • 2006Fundamentals-Based Estimation of Default Probabilities - A Survey55 cited
  • 2014What Influences Banks Lending in Sub-Saharan Africa?46 cited
  • 2006Modelling Scenario Analysis and Macro Stress-testing46 cited