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Applications of liquidity risk discovery using financial market infrastructures transaction archives
Heuver, Richard - 2020
Persistent link: https://www.econbiz.de/10012294786
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Extreme risk modeling : an EVT-pair-copulas approach for financial stress tests
Koliai, Lyes - In: Journal of banking & finance 70 (2016), pp. 1-22
Persistent link: https://www.econbiz.de/10011635106
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Leveraging data for financial stability monitoring
Glasser, T. Dessa - In: Journal of banking regulation 14 (2013) 3/4, pp. 195-208
Persistent link: https://www.econbiz.de/10010357123
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Systemic risk and financial regulations : a theoretical perspective
Prasch, Robert E.; Warin, Thierry - In: Open economies review 17 (2016) 3, pp. 188-199
Persistent link: https://www.econbiz.de/10011718557
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Macroprudential supervision and agents' information : what stress tests really tell the markets
Pacicco, Fausto; Vena, Luigi; Venegoni, Andrea - In: Journal of financial management, markets and institutions 9 (2021) 2, pp. 1-32
Persistent link: https://www.econbiz.de/10013329732
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Capturing information contagion in a stress-testing framework
Anand, Kartik; Gauthier, Céline; Gai, Prasanna; … - 2016
quantify this contagion channel in the context of the Bank of Canada's model of the Canadian banking system and a stress-test …We develop an operational model of information contagion and show how it may be integrated into a mainstream, top …
Persistent link: https://www.econbiz.de/10011520642
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A liquidity risk stress-testing framework with Basel liquidity standards
Hejlová, Hana; Komárková, Zlatuše; Rusnák, Marek - In: Prague economic papers : a bimonthly journal of … 29 (2020) 3, pp. 251-273
Persistent link: https://www.econbiz.de/10012593458
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Financial stability in networks of financial institutions and market infrastructures
Berndsen, Ron; León, Carlos; Renneboog, Luc - In: Journal of financial stability 35 (2018), pp. 120-135
Persistent link: https://www.econbiz.de/10012156854
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Contagion accounting in stress-testing
Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, … - In: Journal of economic dynamics & control 137 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013464710