scenario-based view to a possible distress with a quantitative risk measurement. Therewith, it contributes to the bank's wide …

spreads declined in response to the disclosure of stress test results. We also find that bank systematic risk, as measured by …

covariates. We quantify the effect of model uncertainty on supervisory and bank stress tests in terms of predicted portfolio loss …

banks, which in turn allows us to manage the risk allocation for a bank given a risk budget. Moreover, our approach will be …

.6$$percentage points for key regulatory capital ratios in the most adverse scenario while only addressing 36% of the bank's total …

Climate risk is one of the type of risks in a bank's portfolio which is not fully recognized, and its impact on the …

of Merton-type models can be used to measure bank risk, and then examine the link between various risk measures and …Centralbanker og tilsynsmyndigheder foretager regelmæssigt stresstest af banksektoren. I takt med at tab akkumuleres i …. Endelig beskriver jeg en metode til at indarbejde stigninger i fundingomkostninger i en "top-down" stresstest. …

Bank stress tests of climate change risks are relatively new, but are rapidly proliferating. The IMF and World Bank … substantially with climate change. However, bank capital declines only modestly unless the event is compounded with other disasters …