Acharya, Viral; Engle, Robert; Pierret, Diane - In: Journal of Monetary Economics 65 (2014) C, pp. 36-53
-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 financial institutions is not well correlated to the ranking of the V-Lab stress … test, whereas rank correlations increase when required capitalization is a function of total assets. We show that the risk …