Model-based approach for scenario design : stress test severity and banks' resiliency
Paolo Nicola Barbieri, Giuseppe Lusignani, Lorenzo Prosperi and Lea Zicchino
| Year of publication: |
2022
|
|---|---|
| Authors: | Barbieri, Paolo Nicola ; Lusignani, Giuseppe ; Prosperi, Lorenzo ; Zicchino, Lea |
| Subject: | Bank stress tests | Banking system | Bayesian VAR | Forecasting | Scenario analysis & design | Szenariotechnik | Scenario analysis | Stresstest | Stress test | Bank | Prognoseverfahren | Forecasting model | VAR-Modell | VAR model | Bayes-Statistik | Bayesian inference | Risikomanagement | Risk management | Bankrisiko | Bank risk | Finanzsystem | Financial system | Schock | Shock | Kreditrisiko | Credit risk |
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