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An MVAR framework to capture extreme events in macro-prudential stress tests

Guarda, Paolo; Rouabah, Abdelaziz; Theal, John - 2012

multi-modal distribution of the residuals. A comparison between the respective results of a VAR and MVAR approach suggests … address the problem of extreme tail events, we adopt a mixture vector autoregressive (MVAR) model framework that allows for a … credit risk, the real economy and banks’ capital requirements. Consequently, we argue that the MVAR provides a more accurate …

Persistent link: https://www.econbiz.de/10011605509

Stress testing: The impact of shocks on the capital needs of the Luxembourg banking sector

Rouabah, Abdelaziz; Theal, John - Central Bank of Luxembourg - 2010

We use data on loan loss provisions and total loans over the period spanning 1995 until 2009 to estimate a stress testing model for the Luxembourg banking sector. The sample encompasses the recent global crisis and covers a period in which the average probability of default of the Luxembourg...

Persistent link: https://www.econbiz.de/10009283377

An MVAR framework to capture extreme events in macro-prudential stress tests

Guarda, Paolo; Rouabah, Abdelaziz; Theal, John - European Central Bank - 2012

Persistent link: https://www.econbiz.de/10010686879

Understanding systemic risk: The trade-offs between capital, short-term funding and liquid asset holdings

Gauthier, Céline; He, Zhongfang; Souissi, Moez - 2010

We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory requirement proposals in a holistic way. Following Morris and Shin (2009), we introduce funding liquidity risk as an endogenous outcome of the interaction between market...

Persistent link: https://www.econbiz.de/10010279990

Understanding Systemic Risk: The Trade-Offs between Capital, Short-Term Funding and Liquid Asset Holdings

Gauthier, Céline; He, Zhongfang; Souissi, Moez - Bank of Canada - 2010

Persistent link: https://www.econbiz.de/10008692892

A stress testing framework for the Maltese household sector

Abela, Kirsten; Georgakopoulus, Ilias - 2022

This paper outlines a stress testing framework for the household sector in Malta based on micro data. The analysis depends on granular data relating to income, expenses, and the value of liquid assets from the third wave of the Household Finance and Consumption Survey and assesses the financial...

Persistent link: https://www.econbiz.de/10013483518

Models of financial stability and their application in stress tests

Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, … - 2017

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

A stress testing framework for the Maltese household sector

Abela, Kirsten; Georgakopoulus, Ilias - 2022

Persistent link: https://www.econbiz.de/10013172456

Macro Stress-Testing Credit Risk in Romanian Banking System

Ruja, Catalin - Volkswirtschaftliche Fakultät, … - 2014

This report presents an application of a macro stress testing procedure on credit risk in the Romanian banking system. Macro stress testing, i.e. assessing the vulnerability of financial systems to exceptional but plausible macroeconomic scenarios, maintains a central role in macro-prudential...

Persistent link: https://www.econbiz.de/10011114319

Transmission of macro shocks to loan losses in a deep crisis: the case of Finland

Jokivuolle, Esa; Viren, Matti; Vähämaa, Oskari - Suomen Pankki - 2009

Building on the work of Sorge and Virolainen (2006), we revisit the data on aggregate Finnish bank loan losses from the corporate sector, which covers the ‘Big Five’ crisis in Finland in the early 1990s. Several extensions to the empirical model are considered. These extensions are then used...

Persistent link: https://www.econbiz.de/10008509434