Casellina, Simone; Pandolfo, Giuseppe; Quagliariello, Mario - 2020
provide a practical example of the application of our proposal to the banking book. What emerges is that the PCA can indeed …Stress tests have become a key tool for banks, supervisors and macro prudential authorities. An aspect of these … underestimate the impact of a shock, thus reducing the supervisory reaction. In this paper, we focus on bottom-up stress tests and …