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A new heuristic measure of fragility and tail risks : application to stress testing
Taleb, Nassim Nicholas; Canetti, Elie; Kinda, Tidiane; … - 2012
This paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and to …
Persistent link: https://www.econbiz.de/10009621630
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How to capture macro-financial spillover effects in stress tests?
Hesse, Heiko; Salman, Ferhan; Schmieder, Christian - 2014
Persistent link: https://www.econbiz.de/10010388854
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How to Capture Macro-Financial Spillover Effects in Stress Tests?
Hesse, Heiko - 2014
One of the challenges of financial stability analysis and bank stress testing is how to establish scenarios with … capital positions. The outcome suggests that spillover effects have a highly non-linear impact on bank soundness, both in …
Persistent link: https://www.econbiz.de/10014411388
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A Framework for Macroprudential Bank Solvency Stress Testing : Application to S-25 and Other G-20 Country FSAPs
Jobst, Andreas A. - 2013
The global financial crisis has placed the spotlight squarely on bank stress tests. Stress tests conducted in the lead …
Persistent link: https://www.econbiz.de/10014395327