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Stress-Testing Financial Systems: An Overview of Current Methodologies · Study

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PreprintStress-Testing Financial Systems: An Overview of Current Methodologies

Unknown author2007

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Preprintgreen2007

Stress-Testing Financial Systems: An Overview of Current Methodologies

Unknown author

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

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Banking stability, regulation, efficiency Global Financial Crisis and Policies Financial Risk and Volatility Modeling

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1983Bank Runs, Deposit Insurance, and Liquidity 1999Coherent Measures of Risk 2002Dynamic Conditional Correlation 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1976Econometric policy evaluation: A critique 1997Credit Cycles 1998The Financial Accelerator in a Quantitative Business Cycle Framework

Cited by

2007New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability 2011Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challenges, and a Way Forward 2011Macroeconomic Determinants of Bad Loans: Evidence from Italian Banks 2005Stress Tests of UK Banks Using a VAR Approach 2010A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector 2007Monetary and Prudential Policies at a Crossroads? New Challenges in the New Century

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2005A comparative analysis of macro stress-testing methodologies with application to Finlandarticle · 29 shared references 2009Financial Crises: Theory and Evidencepreprint · 13 shared references 2016Macroprudential policy: A reviewarticle · 11 shared references 2011Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challenges, and a Way Forwardreview · 10 shared references 2005Banking System Stability: A Cross-Atlantic Perspectivereport · 10 shared references 2009Towards an Operational Framework for Financial Stability: 'Fuzzy' Measurement and Its Consequencespreprint · 9 shared references

Details

Year2007

Typepreprint

Published2007-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations225

Files0 public / 0

ShelfBanking stability, regulation, efficiency

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doi10.2139/ssrn.759585

openalex_workW2119767390

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2012Systematic stress tests with entropic plausibility constraints

2014Stress-testing US bank holding companies: A dynamic panel quantile regression approach