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Backtesting macroprudential stress tests
Ramadiah, Amanah; Fricke, Daniel; Caccioli, Fabio - In: Journal of economic dynamics & control 137 (2022), pp. 1-33
Persistent link: https://www.econbiz.de/10013464518
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Contagion accounting
Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, … - 2020
Persistent link: https://www.econbiz.de/10012597978
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Stress testing bank insolvency risk by systemic equity market shock : an expected shortfall approach
Yang, Hank Z. - In: Journal of risk management in financial institutions 16 (2022/2023) 3, pp. 211-227
Persistent link: https://www.econbiz.de/10014320203
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Editorial: risk landscape 10 years on : the end of systemic risk or a new beginning?
Wilson, Thomas Charles - In: Journal of risk management in financial institutions 12 (2019) 2, pp. 108-114
Persistent link: https://www.econbiz.de/10012065273
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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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Interbank asset-liability networks with fire sale management
Feinstein, Zachary; Hałaj, Grzegorz - 2023
this event, but contagion effects may not be fully eliminated. One reason for this may be related to financial institutions …' incentives and strategic behaviours. We propose a model to study contagion effects in a banking system capturing network effects …
Persistent link: https://www.econbiz.de/10014278677
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Identifying systemic risk of assets during international financial crises using Value at Risk elasticities
Borer, Daniel; Perera, Devmali; Fitriya Fauzi; Chau … - In: International review of financial analysis 90 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014469916
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Systemic risk of portfolio diversification
Maehashi, Kohei - In: Economics letters 208 (2021), pp. 1-4
Persistent link: https://www.econbiz.de/10013207259
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Backtesting macroprudential stress tests
Ramadiah, Amanah; Fricke, Daniel; Caccioli, Fabio - 2020
In this paper, we consider models of price-mediated contagion in a banking networkof common asset holdings. For these …
Persistent link: https://www.econbiz.de/10012258918
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Liquidity at Risk : Joint Stress Testing of Solvency and Liquidity
Cont, Rama - 2020
The traditional approach to the stress testing of financial institutions focuses on capital adequacy and solvency. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which may not be consistent with those used in solvency...
Persistent link: https://www.econbiz.de/10012849054