Acharya, Viral; Engle, Robert; Pierret, Diane - In: Journal of Monetary Economics 65 (2014) C, pp. 36-53
We compare the capital shortfall measured by regulatory stress tests, to that of a benchmark methodology — the “V-Lab stress test” — that employs only publicly available market data. We find that when capital shortfalls are measured relative to risk-weighted assets, the ranking of...