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Macro stress testing of credit risk focused on the tails · Study

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ArticleMacro stress testing of credit risk focused on the tails

Ricardo Schechtman2011

OA

Articlebronze2011

Macro stress testing of credit risk focused on the tails

Ricardo Schechtman · Wagner Piazza Gaglianone

42 citations·0/0 files stored·Journal of Financial Stability

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

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References

1978Specification Tests in Econometrics 1995Inside the Black Box: The Credit Channel of Monetary Policy Transmission 2009Assessing the risk of banking crises - revisited 2003Inflation targeting in Brazil: constructing credibility under exchange rate volatility 2009Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say about the Effects of Monetary Policy on Credit Risk-Taking?2005A comparative analysis of macro stress-testing methodologies with application to Finland 2009Stress Testing Credit Risk: A Survey of Authorities' Approaches 2002Macroeconomic Stress Testing: Preliminary Evidence for Austria

Cited by

2020Reducing estimation risk using a Bayesian posterior distribution approach: Application to stress testing mortgage loan default 2017Macro stress testing the U.S. banking system 2021Pan-African banks, banking interconnectivity: A new systemic risk measure in the WAEMU 2014The Susceptibility of Islamic Banks' Credit Risk towards Macroeconomic Variables

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Year2011

Typearticle

Published2011-11-05

VenueJournal of Financial Stability

ISSN-L1572-3089

Languageen

Citations42

Files0 public / 0

ShelfBanking stability, regulation, efficiency

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doi10.1016/j.jfs.2011.10.003

openalex_workW3124633555

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