Backtesting macroprudential stress tests
Amanah Ramadiah, Daniel Fricke, Fabio Caccioli
| Year of publication: |
2022
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|---|---|
| Authors: | Ramadiah, Amanah ; Fricke, Daniel ; Caccioli, Fabio |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 137.2022, p. 1-33
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| Subject: | Backtesting | Common asset holdings | Fire sales | Systemic risk | Stresstest | Stress test | Systemrisiko | Finanzkrise | Financial crisis | Bankrisiko | Bank risk | Statistischer Test | Statistical test | Finanzmarktaufsicht | Financial supervision | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Bankenkrise | Banking crisis | Kreditrisiko | Credit risk | Kapitalanlage | Financial investment |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2022.104333 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013464518