We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We construct a model that can be estimated from high-frequency CDS data. This captures risks from publicly traded banks, privately held institutions, and coöperative banks, extending...

We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We construct a model that can be estimated from high-frequency CDS data. This captures risks from publicly traded banks, privately held institutions, and coöperative banks, extending...

In March 2017, the Warsaw Declaration was signed, establishing provisions for the strategic alliance of the Visegrad Group countries, in the framework of which innovativeness is to become a new element of the cooperation between its members. The Warsaw Declaration provides for the initiation of...

In March 2017, the Warsaw Declaration was signed, establishing provisions for the strategic alliance of the Visegrad Group countries, in the framework of which innovativeness is to become a new element of the cooperation between its members. The Warsaw Declaration provides for the initiation of...

M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and macroprudential buffers in a unified, coherent framework....