create a website

Reverse stress testing: Scenario design for macroprudential stress tests. (2023). Baes, Michel ; Schaanning, Eric.
In: Mathematical Finance.
RePEc:bla:mathfi:v:33:y:2023:i:2:p:209-256.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 41

References cited by this document

Cocites: 62

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Multivariate stress scenario selection in interbank networks. (2023). Kim, Kyoung-Kuk ; Kwon, Eunji ; Ahn, Dohyun.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:154:y:2023:i:c:s0165188923001185.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Amihud, Y. (2002). Illiquidity and stock returns: Cross‐section and time‐series effects. Journal of Financial Markets, 5(1), 31–56.
    Paper not yet in RePEc: Add citation now
  2. Amini, H., Filipović, D., & Minca, A. (2016). Uniqueness of equilibrium in a payment system with liquidation costs. Operations Research Letters, 44(1), 1–5.
    Paper not yet in RePEc: Add citation now
  3. Anderson, R. W. (2016). Stress testing and macroprudential regulation: A transatlantic assessment. Systemic Risk Center, Financial Markets Group & CEPR Press.
    Paper not yet in RePEc: Add citation now
  4. Banerjee, T., & Feinstein, Z. (2021). Price mediated contagion through capital ratio requirements with VWAP liquidation prices. European Journal of Operational Research, 295(3), 1147–1160.

  5. Basel Committee on Banking Supervision. (2015). Making supervisory stress tests more macroprudential: Considering liquidity and solvency interactions and systemic risk [BIS working paper].
    Paper not yet in RePEc: Add citation now
  6. Baudino, P., Goetschmann, R., Henry, J., Taniguchi, K., & Zhu, W. (2018). Stress‐testing banks —a comparative analysis. FSI Insights on policy implementation.
    Paper not yet in RePEc: Add citation now
  7. Bichuch, M., & Feinstein, Z. (2020). A repo model of fire sales with VWAP and lob pricing mechanisms [Working paper].
    Paper not yet in RePEc: Add citation now
  8. Bjørland, C., & Kockerols, T. (2020). A macroprudential contagion stress test framework [Staff memo 4/2020]. Norges Bank.
    Paper not yet in RePEc: Add citation now
  9. Bookstaber, R., Cetina, J., Feldberg, G., Flood, M., & Glasserman, P. (2013). Stress tests to promote financial stability: Assessing progress and looking to the future. Journal of Risk Management in Financial Institutions, 7(1), 16–25.

  10. Bouchaud, J.‐P. (2010). Price impact. In Encyclopedia of quantitative finance. John Wiley Sons, Ltd.
    Paper not yet in RePEc: Add citation now
  11. Braouezec, Y., & Wagalath, L. (2018). Risk‐based capital requirements and optimal liquidation in a stress scenario. Review of Finance, 22, 747–782.
    Paper not yet in RePEc: Add citation now
  12. Braouezec, Y., & Wagalath, L. (2019). Strategic fire‐sales and price‐mediated contagion in the banking system. European Journal of Operational Research, 274(3), 1180–1197.
    Paper not yet in RePEc: Add citation now
  13. Breuer, T., & Summer, M. (2017). Systematic and systemic stress tests [Working paper].
    Paper not yet in RePEc: Add citation now
  14. Breuer, T., Jandacka, M., Rheinberger, K., & Summer, M. (2009). How to find plausible, severe, and useful stress scenarios. International Journal of Central Banking, 5, 205–224.

  15. Caccioli, F., Farmer, J. D., Foti, N., & Rockmore, D. (2015). Overlapping portfolios, contagion, and financial stability. Journal of Economic Dynamics and Control, 51, 50–63.

  16. Calimani, S., Halaj, G., & Zochowski, D. (2017). Simulating fire‐sales in banking and shadow banking system [Working paper series]. ESRB.

  17. Cifuentes, R., Ferrucci, G., & Shin, H. S. (2005). Liquidity risk and contagion. Journal of the European Economic Association, 3(2‐3), 556–566.

  18. Coen, J., Lepore, C., & Schaanning, E. (2019). Taking regulation seriously: Fire sales under solvency and liquidty constraints [Staff working paper no 793]. Bank of England.

  19. Cont, R., & Schaanning, E. (2016). Fire sales, indirect contragion and systemic stress testing [Working paper]. Norges Bank.
    Paper not yet in RePEc: Add citation now
  20. Cont, R., & Schaanning, E. (2019). Monitoring indirect contagion. Journal of Banking and Finance, 104, 85–102.

  21. Cont, R., & Wagalath, L. (2013). Running for the exit: Distressed selling and endogenous correlation in financial markets. Mathematical Finance, 23, 718–741.
    Paper not yet in RePEc: Add citation now
  22. Cont, R., & Wagalath, L. (2016). Fire sales forensics: Measuring endogenous risk. Mathematical Finance, 26, 835–866.

  23. Cont, R., Kotlicki, A., & Valderrama, L. (2020). Liquidity at risk: Joint stress testing of solvency and liquidity. Journal of Banking and Finance, 118, 105871.

  24. Dees, S., Henry, J., & Martin, R. (2017). STAMP€ : Stress‐test analytics for macroprudential purposes in the euro area. ECB eBook.
    Paper not yet in RePEc: Add citation now
  25. Ellul, A., Jotikasthira, C., & Lundblad, C. T. (2011). Regulatory pressure and fire sales in the corporate bond market. Journal of Financial Economics, 101(3), 596–620.

  26. European Systemic Risk Board. (2020a). A system‐wide scenario analysis of largescale corporate bond downgrades. ESRB Technical Note.
    Paper not yet in RePEc: Add citation now
  27. European Systemic Risk Board. (2020b). Macro‐financial scenario for the 2020 EU‐wide banking sector stress test.
    Paper not yet in RePEc: Add citation now
  28. Feinstein, Z. (2017). Financial contagion and asset liquidation strategies. Operations Research Letters, 45(2), 109–114.
    Paper not yet in RePEc: Add citation now
  29. Fique, J. (2017). The macrofinancial risk assessment framework (MFRAF), version 2.0 (Technical Report No, 111). Bank of Canada.

  30. Flood, M. D., & Korenko, G. G. (2015). Systematic scenario selection: Stress testing and the nature of uncertainty. Quantitative Finance, 15(1), 43–59.

  31. Fukker, G., Kaijser, M., Mingarelli, L., & Sydow, M. (2021). Market impact contagion: A European perspective [Working paper].
    Paper not yet in RePEc: Add citation now
  32. Gatheral, J. (2010). No‐dynamic‐arbitrage and market impact. Quantitative Finance, 10(7), 749–759.
    Paper not yet in RePEc: Add citation now
  33. Glasserman, P., Kang, C., & Kang, W. (2015). Stress scenario selection by empirical likelihood. Quantitative Finance, 15(1), 25–41.

  34. Greenwood, R., Landier, A., & Thesmar, D. (2015). Vulnerable banks. Journal of Financial Economics, 115(3), 471–485.
    Paper not yet in RePEc: Add citation now
  35. Guo, W., Minca, A., & Wang, L. (2015). The topology of overlapping portfolio networks. Statistics and Risk Modeling, 33(3‐4), 139–155.
    Paper not yet in RePEc: Add citation now
  36. Huberman, G., & Stanzl, W. (2004). Price manipulation and quasi‐arbitrage. Econometrica, 72, 1247–1275.
    Paper not yet in RePEc: Add citation now
  37. John, C. R., Watson, D., Barnes, M. R., Pitzalis, C., & Lewis, M. J. (2019). Spectrum: Fast density‐aware spectral clustering for single and multi‐omic data. Bioinformatics, 36(4), 1159–1166.
    Paper not yet in RePEc: Add citation now
  38. Korte, B., & Vygen, J. (2012). Combinatorial optimization: Theory and algorithms. Algorithms and combinatorics (Vol. 21, 5th ed.). Springer.
    Paper not yet in RePEc: Add citation now
  39. Kyle, A., & Obizhaeva, A. (2016). Trading liquidity and funding liquidity in fixed income markets: Implications of market microstructure invariance. [Working paper no. 210]. NES.
    Paper not yet in RePEc: Add citation now
  40. Obizhaeva, A. (2012). Liquidity estimates and selection bias [Working paper].
    Paper not yet in RePEc: Add citation now
  41. Rockafellar, R. T. (1970). Convex analysis. Princeton mathematics series (Vol. 28). Princeton University Press.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Price-mediated contagion with endogenous market liquidity. (2025). Cao, Zhiyu ; Feinstein, Zachary.
    In: Mathematics and Financial Economics.
    RePEc:spr:mathfi:v:19:y:2025:i:1:d:10.1007_s11579-024-00377-9.

    Full description at Econpapers || Download paper

  2. Endogenous distress contagion in a dynamic interbank model: how possible future losses may spell doom today. (2025). Feinstein, Zachary ; Sojmark, Andreas.
    In: Papers.
    RePEc:arx:papers:2211.15431.

    Full description at Econpapers || Download paper

  3. A generalized Nash equilibrium problem arising in banking regulation: An existence result with Tarskis theorem. (2023). Braouezec, Yann ; Kiani, Keyvan.
    In: Post-Print.
    RePEc:hal:journl:hal-03967896.

    Full description at Econpapers || Download paper

  4. Economic foundations of generalized games with shared constraint: Do binding agreements lead to less Nash equilibria?. (2023). Braouezec, Yann ; Kiani, Keyvan.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:308:y:2023:i:1:p:467-479.

    Full description at Econpapers || Download paper

  5. BEAST: A model for the assessment of system-wide risks and macroprudential policies. (2023). Budnik, Katarzyna ; Boucherie, Louis ; Gross, Johannes ; Panos, Jiri ; Dimitrov, Ivan ; Vagliano, Gianluca ; Velasco, Sofia ; Lampe, Max ; Janokova, Martina.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20232855.

    Full description at Econpapers || Download paper

  6. Reverse stress testing: Scenario design for macroprudential stress tests. (2023). Baes, Michel ; Schaanning, Eric.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:33:y:2023:i:2:p:209-256.

    Full description at Econpapers || Download paper

  7. Modeling Inverse Demand Function with Explainable Dual Neural Networks. (2023). Chen, Zihan ; Cao, Zhiyu ; Feinstein, Zachary ; Mishra, Prerna ; Amini, Hamed.
    In: Papers.
    RePEc:arx:papers:2307.14322.

    Full description at Econpapers || Download paper

  8. Continuity and sensitivity analysis of parameterized Nash games. (2022). Feinstein, Zachary.
    In: Economic Theory Bulletin.
    RePEc:spr:etbull:v:10:y:2022:i:2:d:10.1007_s40505-022-00228-0.

    Full description at Econpapers || Download paper

  9. Economic foundations of generalized games with shared constraint: Do binding agreements lead to less Nash equilibria?. (2022). Braouezec, Yann ; Kiani, Keyvan.
    In: Post-Print.
    RePEc:hal:journl:hal-03967955.

    Full description at Econpapers || Download paper

  10. A repo model of fire sales with VWAP and LOB pricing mechanisms. (2022). Feinstein, Zachary ; Bichuch, Maxim.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:296:y:2022:i:1:p:353-367.

    Full description at Econpapers || Download paper

  11. Macroeconomic Reverse Stress Testing: An Early-Warning System for Spanish Banking Regulators. Analysis Based on the 2008 Global Financial Crisis / Prueba de resistencia inversa Macroeconómica: una pr. (2019). García-Fronti, Javier ; Cristófoli, María Elizabeth ; Cristofoli, Maria Elizabeth.
    In: Estocástica: finanzas y riesgo.
    RePEc:sfr:efruam:v:9:y:2019:i:2:p:181-204.

    Full description at Econpapers || Download paper

  12. Implications of Model Uncertainty for Bank Stress Testing. (2019). Gross, Marco ; Poblacion, Javier.
    In: Journal of Financial Services Research.
    RePEc:kap:jfsres:v:55:y:2019:i:1:d:10.1007_s10693-017-0275-4.

    Full description at Econpapers || Download paper

  13. Stress Testing for Retail Mortgages Based on Probability Analysis. (2019). Nassar, Raja ; Liu, Chang.
    In: Computational Economics.
    RePEc:kap:compec:v:53:y:2019:i:1:d:10.1007_s10614-018-9825-6.

    Full description at Econpapers || Download paper

  14. A factor-model approach for correlation scenarios and correlation stress testing. (2019). Packham, N ; Woebbeking, C F.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:101:y:2019:i:c:p:92-103.

    Full description at Econpapers || Download paper

  15. Predicting European bank stress tests: Survival of the fittest. (2019). López-Iturriaga, Félix ; Kolari, James W ; Sanz, Ivan Pastor ; Lopez-Iturriaga, Felix J.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:39:y:2019:i:c:p:44-57.

    Full description at Econpapers || Download paper

  16. An overview of regulatory stress-testing and steps to improve it. (2019). Pritsker, Matt.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:39:y:2019:i:c:p:39-43.

    Full description at Econpapers || Download paper

  17. A Triptych Approach for Reverse Stress Testing of Complex Portfolios. (2019). Traccucci, Pascal ; Dumontier, Luc ; Garchery, Guillaume ; Jacot, Benjamin.
    In: Papers.
    RePEc:arx:papers:1906.11186.

    Full description at Econpapers || Download paper

  18. A severity function approach to scenario selection. (2017). Mokinski, Frieder.
    In: Discussion Papers.
    RePEc:zbw:bubdps:342017.

    Full description at Econpapers || Download paper

  19. Lasso Regressions and Forecasting Models in Applied Stress Testing. (2017). Chan-Lau, Jorge.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2017/108.

    Full description at Econpapers || Download paper

  20. Choosing Stress Scenarios for Systemic Risk Through Dimension Reduction. (2017). Pritsker, Matthew.
    In: Supervisory Research and Analysis Working Papers.
    RePEc:fip:fedbqu:rpa17-4.

    Full description at Econpapers || Download paper

  21. A Top-down Approach to Stress-testing Banks. (2016). Mitnik, Oscar ; Kapinos, Pavel.
    In: Journal of Financial Services Research.
    RePEc:kap:jfsres:v:49:y:2016:i:2:d:10.1007_s10693-015-0228-8.

    Full description at Econpapers || Download paper

  22. Systematic multi-period stress scenarios with an application to CCP risk management. (2016). de Genaro, Alan.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:67:y:2016:i:c:p:119-134.

    Full description at Econpapers || Download paper

  23. Efficient estimation of unconditional capital by Monte Carlo simulation. (2016). Ferrer, Alex ; Sotoca, Sonia ; Casals, Jose.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:16:y:2016:i:c:p:75-84.

    Full description at Econpapers || Download paper

  24. On the computation of multivariate scenario sets for the skew-t and generalized hyperbolic families. (2016). Giorgi, Emanuele ; McNeil, Alexander J.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:100:y:2016:i:c:p:205-220.

    Full description at Econpapers || Download paper

  25. Credit risk stress testing and copulas: Is the Gaussian copula better than its reputation?. (2015). Koziol, Philipp ; Eckhardt, Meik ; Schell, Carmen .
    In: Discussion Papers.
    RePEc:zbw:bubdps:462015.

    Full description at Econpapers || Download paper

  26. Dynamical Macroprudential Stress Testing Using Network Theory. (2015). Havlin, Shlomo ; Levy-Carciente, Sary ; Stanley, Eugene H ; Kenett, Dror Y ; Avakian, Adam.
    In: Working Papers.
    RePEc:ofr:wpaper:15-12.

    Full description at Econpapers || Download paper

  27. Integrating Stress Scenarios into Risk Quantification Models. (2015). Ergashev, Bakhodir ; Blei, Sharon ; Abdymomunov, Azamat.
    In: Journal of Financial Services Research.
    RePEc:kap:jfsres:v:47:y:2015:i:1:p:57-79.

    Full description at Econpapers || Download paper

  28. Designing Effective Macroprudential Stress Tests: Progress So Far and the Way Forward. (2015). Demekas, Dimitri.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2015/146.

    Full description at Econpapers || Download paper

  29. Robust stress testing. (2015). Bidder, Rhys ; McKenna, Andrew .
    In: Working Paper Series.
    RePEc:fip:fedfwp:2015-13.

    Full description at Econpapers || Download paper

  30. Dynamical macroprudential stress testing using network theory. (2015). Havlin, Shlomo ; Levy-Carciente, Sary ; Stanley, Eugene H ; Kenett, Dror Y ; Avakian, Adam.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:59:y:2015:i:c:p:164-181.

    Full description at Econpapers || Download paper

  31. Makroekonomiczne czynniki ryzyka kredytowego w sektorze bankowym w Polsce. (2014). Wdowiński, Piotr ; Wdowiski, Piotr.
    In: Gospodarka Narodowa. The Polish Journal of Economics.
    RePEc:sgh:gosnar:y:2014:i:4:p:55-77.

    Full description at Econpapers || Download paper

  32. Robust Stress Testing. (2014). Bidder, Rhys ; McKenna, Andrew .
    In: 2014 Meeting Papers.
    RePEc:red:sed014:853.

    Full description at Econpapers || Download paper

  33. Stress testing German banks against a global credit crunch. (2014). Kick, Thomas ; Dullmann, Klaus .
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:28:y:2014:i:4:p:337-361.

    Full description at Econpapers || Download paper

  34. Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests. (2014). Horvath, Roman ; Franta, Michal ; Baruník, Jozef.
    In: International Journal of Central Banking.
    RePEc:ijc:ijcjou:y:2014:q:1:a:5.

    Full description at Econpapers || Download paper

  35. Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights. (2014). Pierret, Diane ; Engle, Robert ; Acharya, Viral.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9800.

    Full description at Econpapers || Download paper

  36. Central Bank Transparency and Financial Stability: Measurement, Determinants and Effects. (2013). Horvath, Roman ; Vako, Dan .
    In: FIW Working Paper series.
    RePEc:wsr:wpaper:y:2013:i:113.

    Full description at Econpapers || Download paper

  37. Stress Tests to Promote Financial Stability: Assessing Progress and Looking to the Future. (2013). Flood, Mark ; Glasserman, Paul ; Cetina, Jill ; Feldberg, Greg ; Bookstaber, Rick.
    In: Working Papers.
    RePEc:ofr:wpaper:13-10.

    Full description at Econpapers || Download paper

  38. Stress Tests to Promote Financial Stability: Assessing Progress and Looking to the Future. (2013). Flood, Mark ; Glasserman, Paul ; Cetina, Jill ; Feldberg, Greg ; Bookstaber, Rick.
    In: Working Papers.
    RePEc:ofr:wpaper:13-07.

    Full description at Econpapers || Download paper

  39. Stress Scenario Selection by Empirical Likelihood. (2013). Pelger, Markus ; Kang, Wanmo ; Glasserman, Paul.
    In: Working Papers.
    RePEc:ofr:wpaper:13-04.

    Full description at Econpapers || Download paper

  40. Systematic Scenario Selection: Stress Testing and the Nature of Uncertainty. (2013). Flood, Mark ; Korenko, George .
    In: Working Papers.
    RePEc:ofr:wpaper:13-02.

    Full description at Econpapers || Download paper

  41. 2013 Annual Report. (2013). .
    In: Reports.
    RePEc:ofr:report:13-02.

    Full description at Econpapers || Download paper

  42. Dynamic Stress Testing: The Framework for Assessing the Resilience of the Banking Sector Used by the Czech National Bank. (2013). Seidler, Jakub ; Konecny, Tomas ; Jakubík, Petr ; Gersl, Adam ; Jakubik, Petr.
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:63:y:2013:i:6:p:505-536.

    Full description at Econpapers || Download paper

  43. Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights. (2013). Pierret, Diane ; Engle, Robert ; Acharya, Viral.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9431.

    Full description at Econpapers || Download paper

  44. Calibrating Initial Shocks in Bank Stress Test Scenarios: An Outlier Detection Based Approach.. (2013). Darné, Olivier ; Levy-Rueff, O. ; Darne, O. ; Pop, A..
    In: Working papers.
    RePEc:bfr:banfra:426.

    Full description at Econpapers || Download paper

  45. Stress testing German banks against a global cost-of-capital shock. (2012). Kick, Thomas ; Duellmann, Klaus.
    In: Discussion Papers.
    RePEc:zbw:bubdps:042012.

    Full description at Econpapers || Download paper

  46. Macroprudential stress testing of credit risk : a practical approach for policy makers. (2012). Melecký, Martin ; Buncic, Daniel ; Melecky, Martin.
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:5936.

    Full description at Econpapers || Download paper

  47. THE USE OF A VALUE AT RISK MEASURE FOR THE ANALYSIS OF BANK INTEREST MARGINS. (2012). Gemzik-Salwach, Agata.
    In: e-Finanse.
    RePEc:rze:efinan:v:8:y:2012:i:4:p:15-29.

    Full description at Econpapers || Download paper

  48. A Survey of Systemic Risk Analytics. (2012). Lo, Andrew ; Flood, Mark ; Valavanis, Stavros ; Bisias, Dimitrios.
    In: Working Papers.
    RePEc:ofr:wpaper:12-01.

    Full description at Econpapers || Download paper

  49. How to Improve the Quality of Stress Tests through Backtesting. (2012). Seidler, Jakub ; Gersl, Adam ; Gerl, Adam.
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:62:y:2012:i:4:p:325-346.

    Full description at Econpapers || Download paper

  50. A systematic approach to multi-period stress testing of portfolio credit risk. (2012). Summer, Martin ; Mencia, Javier ; Breuer, Thomas ; Jandaaka, Martin ; Menca, Javier .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:2:p:332-340.

    Full description at Econpapers || Download paper

  51. Multivariate stress scenarios and solvency. (2012). Smith, Andrew D. ; McNeil, Alexander J..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:50:y:2012:i:3:p:299-308.

    Full description at Econpapers || Download paper

  52. Macro stress testing of credit risk focused on the tails. (2012). Schechtman, Ricardo ; Gaglianone, Wagner.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:8:y:2012:i:3:p:174-192.

    Full description at Econpapers || Download paper

  53. Dynamic Stress Testing: The Framework for Testing Banking Sector Resilience Used by the Czech National Bank. (2012). Seidler, Jakub ; Konecny, Tomas ; Jakubík, Petr ; Gersl, Adam.
    In: Working Papers.
    RePEc:cnb:wpaper:2012/11.

    Full description at Econpapers || Download paper

  54. A Survey of Systemic Risk Analytics. (2012). Lo, Andrew ; Flood, Mark ; Valavanis, Stavros ; Bisias, Dimitrios.
    In: Annual Review of Financial Economics.
    RePEc:anr:refeco:v:4:y:2012:p:255-296.

    Full description at Econpapers || Download paper

  55. Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers. (2011). Melecký, Martin ; Buncic, Daniel.
    In: Economics Working Paper Series.
    RePEc:usg:econwp:2011:39.

    Full description at Econpapers || Download paper

  56. Macroprudential stress testing of credit risk: A practical approach for policy makers. (2011). Melecký, Martin ; Buncic, Daniel ; Martin, Melecky .
    In: MPRA Paper.
    RePEc:pra:mprapa:33927.

    Full description at Econpapers || Download paper

  57. Next Generation Balance Sheet Stress Testing. (2011). Schmieder, Christian ; Hasan, Maher ; Puhr, Claus.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2011/083.

    Full description at Econpapers || Download paper

  58. Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests. (2011). Horvath, Roman ; Franta, Michal ; Baruník, Jozef ; Smidkova, Katerina ; Barunik, Jozef.
    In: Working Papers.
    RePEc:cnb:wpaper:2011/10.

    Full description at Econpapers || Download paper

  59. Stress Test Verification as Part of an Advanced Stress-Testing Framework. (2010). Seidler, Jakub ; Gersl, Adam.
    In: Occasional Publications - Chapters in Edited Volumes.
    RePEc:cnb:ocpubc:fsr0910/1.

    Full description at Econpapers || Download paper

  60. Stress testing: The impact of shocks on the capital needs of the Luxembourg banking sector. (2010). Theal, John ; Rouabah, Abdelaziz.
    In: BCL working papers.
    RePEc:bcl:bclwop:bclwp047.

    Full description at Econpapers || Download paper

  61. Conservative Stress Testing: The Role of Regular Verification. (2008). Seidler, Jakub ; Gersl, Adam.
    In: Working Papers IES.
    RePEc:fau:wpaper:wp2010_12.

    Full description at Econpapers || Download paper

  62. Too much cocited documents. This list is not complete

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-30 01:39:17 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.