We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital …

investigate how the structure of those networks can affect the capacity of regulators to assess the level of systemic risk. We … rise to uncertainty in the determination of the default probability. We show how this uncertainty can affect the estimation … of systemic risk in terms of expected losses. We further quantify the effects of cyclicality, leverage, volatility and …

science are combined with an interpretation of entropy as risk uncertainty, to explain systemic risk in terms of catastrophic …This article responds to calls in the literature for a major shift in approaches to explaining systemic risk. It … financial system. Then the key features of a recent programme of theory development research based on this approach are …

system. The method also allows for what-if analyses to optimize the risk exposures, and to plan an emergency strategy in case …