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What kind of models do we need to guide us through the next crisis? If past crises are any indication, we need to explore new approaches. During the Great Financial Crisis, the models that existed at the time were of little value because they focused on firm-level interactions and did not...
Persistent link: https://www.econbiz.de/10013214169
"Stress tests are the most innovative regulatory tool to prevent and fight financial crises. Their use has fundamentally changed the mathematical modeling of financial systems, financial risk management in the public and private sector, and the policies designed to prevent and mitigate financial...
Persistent link: https://www.econbiz.de/10012632110
Stress tests are the most innovative regulatory tool to prevent and fight financial crises. Their use has fundamentally changed the modeling of financial systems, financial risk management in the public and private sector, and the policies designed to prevent and mitigate financial crises. When...
Persistent link: https://www.econbiz.de/10013272611
Persistent link: https://www.econbiz.de/10013343652
We review heterogeneous agent-based models of financial stability and their application in stress tests. In contrast to the mainstream approach, which relies heavily on the rational expectations assumption and focuses on situations where it is possible to compute an equilibrium, this approach...
Persistent link: https://www.econbiz.de/10011906282
Persistent link: https://www.econbiz.de/10011871938
Persistent link: https://www.econbiz.de/10012534314
We review heterogeneous agent models of financial stability and their application in stress tests. In contrast to the mainstream approach, which relies heavily on the rational expectations assumption and focuses on situations where it is possible to compute an equilibrium, this approach...
Persistent link: https://www.econbiz.de/10014024350
Climate change has the potential to impact the stability of the financial system. We develop a climate stress test that translates climate transition risks affecting individual firms and economies to shocks affecting the financial system. As part of this, we present a forward-looking risk...
Persistent link: https://www.econbiz.de/10014238199