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Simulation-Based Stress Testing of Banks' Regulatory Capital Adequacy · Study

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PreprintSimulation-Based Stress Testing of Banks' Regulatory Capital Adequacy

Samu Peura2017

OA

Preprintgreen2017

Simulation-Based Stress Testing of Banks' Regulatory Capital Adequacy

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

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Banking stability, regulation, efficiency Financial Risk and Volatility Modeling Credit Risk and Financial Regulations

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References

2000A Theory of Bank Capital 2000A comparative anatomy of credit risk models 2002Ratings migration and the business cycle, with application to credit portfolio stress testing 2001Bank Portfolio Allocation: The Impact of Capital Requirements, Regulatory Monitoring, and Economic Conditions 2001Stability of ratings transitions 2002A guide to choosing absolute bank capital requirements 1996Firm behaviour under the threat of liquidation

Cited by

2013Ex ante capital position, changes in the different components of regulatory capital and bank risk 2012The Determinants of Capital Buffer in the Turkish Banking System 2007Portfolio Effects and Efficiency of Lending under Basel II 2012Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers 2011The Basel Accord and the Value of Bank Differentiation 2009The Impact of Basel I Capital Requirements on Bank Behavior And the Efficacy of Monetary Policy 2008

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Details

Year2017

Typepreprint

Published2017-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations35

Files0 public / 0

ShelfBanking stability, regulation, efficiency

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doi10.2139/ssrn.3018089

openalex_workW1982952305

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Macro-Model-Based Stress Testing of Basel II Capital Requirements

2012Rating Agencies as Gatekeepers to the Capital Market: Practical Implications of 40 Years of Research