SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Macro stress testing of credit risk focused on the tails
15 references·4 citing·51 second hop
Macro stress testing of credit risk focused on the tails (2011)Macro stress testing of credit risk focus…A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector (2010)A Macro Stress Test Model of …Stress Testing Credit Risk: A Survey of Authorities' Approaches (2009)Stress Testing Credit Risk: A…Macro stress tests and crises: what can we learn? (2009)Macro stress tests and crises…How to Find Plausible, Severe and Useful Stress Scenarios (2009)How to Find Plausible, Severe…Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say about the Effects of Monetary Policy on Credit Risk-Taking? (2009)Hazardous Times for Monetary …Assessing the risk of banking crises - revisited (2009)Assessing the risk of banking…Introduction to Applied Stress Testing (2007)Introduction to Applied Stres…Modelling Scenario Analysis and Macro Stress-testing (2006)Modelling Scenario Analysis a…A comparative analysis of macro stress-testing methodologies with application to Finland (2005)A comparative analysis of mac…Monetary policy and inflation in Brazil (1975-2000): a VAR estimation (2003)Monetary policy and inflation…Inflation targeting in Brazil: constructing credibility under exchange rate volatility (2003)Inflation targeting in Brazil…Inflation and Financial Market Performance: What Have We Learned in the Last Ten Years? (2003)Inflation and Financial Marke…Macroeconomic Stress Testing: Preliminary Evidence for Austria (2002)Macroeconomic Stress Testing:…Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Inside the Black Box: The Cre…Specification Tests in Econometrics (1978)Specification Tests in Econom…Pan-African banks, banking interconnectivity: A new systemic risk measure in the WAEMU (2021)Pan-African banks, banking in…Reducing estimation risk using a Bayesian posterior distribution approach: Application to stress testing mortgage loan default (2020)Reducing estimation risk usin…Macro stress testing the U.S. banking system (2017)Macro stress testing the U.S.…The Susceptibility of Islamic Banks' Credit Risk towards Macroeconomic Variables (2014)The Susceptibility of Islamic…Inference in Linear Time Series Models with some Unit Roots (1990)Discretion versus policy rules in practice (1993)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Inflation Targeting in Emerging Market Economies (2003)Can Inflation Targeting Work in Emerging Market Countries? (2004)Evolution of bank efficiency in Brazil: A DEA approach (2009)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)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)Credit Rationing in Markets with Imperfect Information (1981)Agency Costs, Net Worth, And Business Fluctuations (1988)The Benefits of Lending Relationships: Evidence from Small Business Data (1994)Does Monetary Policy Affect Bank Risk-Taking? (2010)Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challenges, and a Way Forward (2011)Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes (2016)On the Pooling of Time Series and Cross Section Data (1978)Econometric Analysis of Cross Section and Panel Data (2001)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Manias, Panics and Crashes (1978)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Systemic Banking Crises: A New Database (2008)Bank regulation, property prices and early warning systems for banking crises in OECD countries (2010)Countercyclical Capital Buffers: Exploring Options (2010)Characterising the financial cycle : don't lose sight of the medium term! (2012)Portfolio Credit Risk (1998)Stress Testing of Financial Systems: An Overview of Issues, Methodologies, and Fsap Experiences (2001)Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Investigating the Determinants of Nonperforming Loans in the Romanian Banking System: An Empirical Study with Reference to the Greek Crisis (2011)Stress-testing US bank holding companies: A dynamic panel quantile regression approach (2014)Monetary Policy Shocks: What Have We Learned and to What End? (1998)Monetary policy, inflation and the level of economic activity in Brazil after the Real Plan: stylized facts from SVAR models (2008)Monetary policy channels in Brazil through the lens of a semi-structural model (2012)Transmission Lags of Monetary Policy: A Meta-Analysis (2012)Macroeconomics and Reality (1980)The federal funds rate and the channels of monetary transmission (1989)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Chapter 21 The financial accelerator in a quantitative business cycle framework (1999)The Science of Monetary Policy: A New Keynesian Perspective (1999)The Quarterly Journal of Economics (2024)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)Measuring financial stress in a developed country: An application to Canada (2006)Macroeconomic Determinants Of Loan Portfolio Credit Risk In Banks (2012)Drivers of bank profitability: Case of Latvia and Lithuania (2015)Credit Information Sharing and Loan Default in Developing Countries: The Moderating Effect of Banking Market Concentration and National Governance Quality (2019)Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms (1999)A comparative analysis of current credit risk models (2000)Macroeconomic Determinants of Bad Loans: Evidence from Italian Banks (2011)Asset quality in a crisis period: An empirical examination of Ghanaian banks (2014)
this work references cited by second hop

References

  • 1978Specification Tests in Econometrics18,788 cited
  • 1995Inside the Black Box: The Credit Channel of Monetary Policy Transmission4,205 cited
  • 2009Assessing the risk of banking crises - revisited402 cited
  • 2003Inflation targeting in Brazil: constructing credibility under exchange rate volatility311 cited
  • 2009Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say about the Effects of Monetary Policy on Credit Risk-Taking?274 cited
  • 2005A comparative analysis of macro stress-testing methodologies with application to Finland141 cited
  • 2009Stress Testing Credit Risk: A Survey of Authorities' Approaches121 cited
  • 2002Macroeconomic Stress Testing: Preliminary Evidence for Austria109 cited
  • 2010A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector109 cited
  • 2003Monetary policy and inflation in Brazil (1975-2000): a VAR estimation108 cited
  • 2009How to Find Plausible, Severe and Useful Stress Scenarios94 cited
  • 2007Introduction to Applied Stress Testing91 cited
  • 2009Macro stress tests and crises: what can we learn?70 cited
  • 2006Modelling Scenario Analysis and Macro Stress-testing46 cited
  • 2003Inflation and Financial Market Performance: What Have We Learned in the Last Ten Years?

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

36 cited

Cited by

  • 2020Reducing estimation risk using a Bayesian posterior distribution approach: Application to stress testing mortgage loan default31 cited
  • 2017Macro stress testing the U.S. banking system23 cited
  • 2021Pan-African banks, banking interconnectivity: A new systemic risk measure in the WAEMU22 cited
  • 2014The Susceptibility of Islamic Banks' Credit Risk towards Macroeconomic Variables18 cited