SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Stress-Testing Financial Systems: An Overview of Current Methodologies
16 references·16 citing·41 second hopsampled
Stress-Testing Financial Systems: An Overview of Current Methodologies (2007)Stress-Testing Financial Systems: An Over…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Comparing financial systems (2001)Comparing financial systemsCoherent Measures of Risk (1999)Coherent Measures of RiskChapter 21 The financial accelerator in a quantitative business cycle framework (1999)Chapter 21 The financial acce…The Financial Accelerator in a Quantitative Business Cycle Framework (1998)The Financial Accelerator in …The Determinants of Banking Crises in Developing and Developed Countries (1998)The Determinants of Banking C…Leading Indicators of Currency Crises (1998)Leading Indicators of Currenc…Credit Cycles (1997)Credit CyclesA Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression (1983)Non-Monetary Effects of the F…Bank Runs, Deposit Insurance, and Liquidity (1983)Bank Runs, Deposit Insurance,…Econometric policy evaluation: A critique (1976)Econometric policy evaluation…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…Climate transition risk in U.S. loan portfolios: Are all banks the same? (2022)Climate transition risk in U.…Non performing loans (NPLs) in a crisis economy: Long-run equilibrium analysis with a real time VEC model for Greece (2001–2015) (2016)Non performing loans (NPLs) i…Dynamics of non-performing loans in the Turkish banking sector by an ownership breakdown: The impact of the global crisis (2016)Dynamics of non-performing lo…A Top-down Approach to Stress-testing Banks (2015)A Top-down Approach to Stress…Stress-testing US bank holding companies: A dynamic panel quantile regression approach (2014)Stress-testing US bank holdin…Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers (2013)Macroprudential Stress Testin…Impact of Macroeconomic Forces on Nonperforming Loans: An Empirical Study of Commercial Banks in Pakistan (2013)Impact of Macroeconomic Force…Systematic stress tests with entropic plausibility constraints (2012)Systematic stress tests with …Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challenges, and a Way Forward (2011)Rediscovering the Macroeconom…Macroeconomic Determinants of Bad Loans: Evidence from Italian Banks (2011)Macroeconomic Determinants of…Predicting banking distress in the EMEAP economies (2010)Predicting banking distress i…A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector (2010)A Macro Stress Test Model of …Procyclicality in the Financial System: Do We Need a New Macrofinancial Stabilisation Framework? (2007)Procyclicality in the Financi…New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability (2007)New Framework for Measuring a…Monetary and Prudential Policies at a Crossroads? New Challenges in the New Century (2007)Monetary and Prudential Polic…Stress Tests of UK Banks Using a VAR Approach (2005)Stress Tests of UK Banks Usin…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Science of Monetary Policy: A New Keynesian Perspective (1999)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Theory of the Consumption Function (1960)Some International Evidence on Output-Inflation Tradeoffs. (1973)The Role of Monetary Policy (1995)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Does Culture Affect Economic Outcomes? (2006)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Financial Intermediation and Delegated Monitoring (1984)Financial Contagion (2000)A Monetary History of the United States, 1867-1960 (2017)House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle (2005)Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? (2011)Credit Spreads and Business Cycle Fluctuations (2012)Conditional value-at-risk for general loss distributions (2002)Theory and Applications of Robust Optimization (2010)Financial Intermediation, Loanable Funds, and The Real Sector (1997)Financial Constraints Risk (2006)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1983Bank Runs, Deposit Insurance, and Liquidity9,689 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1976Econometric policy evaluation: A critique6,104 cited
  • 1997Credit Cycles5,254 cited
  • 1998The Financial Accelerator in a Quantitative Business Cycle Framework4,624 cited
  • 1999Chapter 21 The financial accelerator in a quantitative business cycle framework3,549 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1983Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression2,173 cited
  • 1998Leading Indicators of Currency Crises1,857 cited
  • 1998The Determinants of Banking Crises in Developing and Developed Countries1,799 cited

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

2001
Comparing financial systems
1,585 cited

Cited by

  • 2007New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability203 cited
  • 2011Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challenges, and a Way Forward182 cited
  • 2011Macroeconomic Determinants of Bad Loans: Evidence from Italian Banks149 cited
  • 2005Stress Tests of UK Banks Using a VAR Approach144 cited
  • 2010A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector109 cited
  • 2007Monetary and Prudential Policies at a Crossroads? New Challenges in the New Century108 cited
  • 2012Systematic stress tests with entropic plausibility constraints102 cited
  • 2014Stress-testing US bank holding companies: A dynamic panel quantile regression approach101 cited
  • 2022Climate transition risk in U.S. loan portfolios: Are all banks the same?89 cited
  • 2013Impact of Macroeconomic Forces on Nonperforming Loans: An Empirical Study of Commercial Banks in Pakistan77 cited
  • 2013Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers77 cited
  • 2016Non performing loans (NPLs) in a crisis economy: Long-run equilibrium analysis with a real time VEC model for Greece (2001–2015)72 cited
  • 2007Procyclicality in the Financial System: Do We Need a New Macrofinancial Stabilisation Framework?69 cited
  • 2015A Top-down Approach to Stress-testing Banks68 cited
  • 2016Dynamics of non-performing loans in the Turkish banking sector by an ownership breakdown: The impact of the global crisis67 cited
  • 2010Predicting banking distress in the EMEAP economies61 cited