Acharya, Viral V.; Engle, Robert; Pierret, Diane - National Bureau of Economic Research (NBER) - 2013
stress tests appears to have left financial sectors under-capitalized, especially during the European sovereign debt crisis …Macroprudential stress tests have been employed by regulators in the United States and Europe to assess and address the … solvency condition of financial firms in adverse macroeconomic scenarios. We provide a test of these stress tests by comparing …