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When liquidity risk becomes a macro-prudential issue: Empirical evidence of bank behaviour
End, Jan Willem van den; Tabbae, Mostafa - de Nederlandsche Bank - 2009
tolerance and limited flexibility in risk management. Regression analysis confirms that their behaviour contributed to financial …
Persistent link: https://www.econbiz.de/10008500697
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Modelling Scenario Analysis and Macro Stress-testing
End, Jan Willem van den; Hoeberichts, Marco; Tabbae, Mostafa - de Nederlandsche Bank - 2006
Macro stress-testing has become an important tool to assess financial stability. This paper describes a tool kit for scenario analysis and macro stress-testing. It is based on a model which maps multivariate scenarios to banks' credit and interest rate risks by deterministic and stochastic...
Persistent link: https://www.econbiz.de/10005101857