We propose a new method for analysing multiperiod stress scenarios for portfolio credit risk more systematically than in the current practice of macro stress testing. Our method quantifi es the plausibility of scenarios by considering the distance of the stress scenario from an average scenario....

Artículo de revista ; A High-Level Task Force (HLTF ) of the European Systemic Risk Board (ESRB) has recently put forward a proposal aimed to increase the supply of low-risk financial assets in Europe through the securitisation of national euro area sovereign debt. This article reviews the...

Este documento presenta el marco analítico desarrollado recientemente por el Banco de España para la puesta en marcha de su política macroprudencial. La metodología descrita incorpora un amplio conjunto de indicadores que permiten realizar un seguimiento de los riesgos macroprudenciales a...

Nicht zuletzt aufgrund der weltweit stark zunehmenden Nachfrage nach landwirtschaftlichen Rohstoffen zur Biokraftstoffherstellung wird mit einem starken Anstieg der Getreide- und Ölsaatenpreise gerechnet. In diesem Beitrag wurden die Auswirkungen steigender Getreidepreise auf die boomende...

We propose a new method for the analysis of systemic stability of a banking system relying mostly on market data. We model both asset correlations and interlinkages from interbank borrowing so that our analysis gauges two major sources of systemic risk: correlated exposures and mutual credit...