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Stress testing in credit portfolio models

Kalkbrener, M.; Overbeck, Ludger - In: Applied quantitative finance, (pp. 153-176). 2017

Persistent link: https://www.econbiz.de/10011794959

Incorporating funding costs in top-down stress tests

Korsgaard, Søren - 2017

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. …

Persistent link: https://www.econbiz.de/10011614070

A model combination approach to developing robust models for credit risk stress testing : an application to a stressed economy

Papadopoulos, Georgios - In: The journal of risk model validation 11 (2017) 1, pp. 49-72

Persistent link: https://www.econbiz.de/10011671179

A network model for central counterparty liquidity risk stress testing under incomplete information

Wong, Max Chan Yue; Pei, Patrick Ge; Yee, Lam Xin - In: The journal of financial market infrastructures 5 (2017) 3, pp. 25-55

Persistent link: https://www.econbiz.de/10011673769

Making sense of the EU-wide stress test : comparing SRISK and the ECB/EBA measures of bank vulnerability

Homar, Timotej; Kick, Heinrich; Salleo, Carmelo - In: Preparing for the next financial crisis : policies, …, (pp. 108-138). 2017

Persistent link: https://www.econbiz.de/10011802620

A stochastic forward-looking model to assess the profitability and solvency of European insurers

Berdin, Elia; Pancaro, Cosimo; Kok Sørensen, Christoffer - 2016

In this paper, we develop an analytical framework for conducting forward-looking assessments of profitability and solvency of the main euro area insurance sectors. We model the balance sheet of an insurance company encompassing both life and non-life business and we calibrate it using country...

Persistent link: https://www.econbiz.de/10011473563

UK banks face huge investments to comply with Bank of England stress test

Thun, Christian - In: Journal of risk management in financial institutions 7 (2014) 4, pp. 389-394

Persistent link: https://www.econbiz.de/10011346964

Credit risk forecasting modelling and projections under IFRS 9

Montesi, Giuseppe; Papiro, Giovanni; Ugolini, Laura - In: Journal of risk management in financial institutions 12 (2018/2019) 1, pp. 79-101

Persistent link: https://www.econbiz.de/10012041846

Bank solvency stress tests with fire sales

Breuer, Thomas; Summer, Martin; Urošević, Branko - In: Journal of financial stability 67 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014455510

Assessing and mitigating fire sales risk under partial information

Pang, Raymond Ka-Kay; Veraart, Luitgard A. M. - In: Journal of banking & finance 155 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014490599