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Stress-testing macro stress testing : does it live up to expectations?

Borio, Claudio E. V.; Drehmann, Mathias; Tsatsaronis, Kostas - 2012

Persistent link: https://www.econbiz.de/10009535772

Stress-Testing Macro Stress Testing : Does it Live Up to Expectations?

Borio, Claudio E. V. - 2014

We critically review the state of the art in macro stress testing, assessing its strengths and weaknesses. We argue that, given current technology, macro stress tests are ill-suited as early warning devices, ie as tools for identifying vulnerabilities during seemingly tranquil times and for...

Persistent link: https://www.econbiz.de/10013066619

Macro stress testing as a leading indicator of banking sector vulnerabilities

Kalfaoglou, Faidon - In: New trends in bank efficiency, (pp. 17-43). 2013

Persistent link: https://www.econbiz.de/10009777329

Macrofinancial stress testing on Australian banks

Garvin, Nicholas; Kurian, Samuel; Major, Mike; Norman, … - 2022

Persistent link: https://www.econbiz.de/10014317948

Predicting European bank stress tests : survival of the fittest

Kolari, James W.; López Iturriaga, Felix J.; Sanz, … - In: Global finance journal 39 (2019), pp. 44-57

Persistent link: https://www.econbiz.de/10012257029

Banking supervision : conceptual model of banking stress test

Ioan, Viorica; Fortea, Costinela - In: Analele Universitătii Dunărea de Jos Galaţi 25 (2019) 1, pp. 189-192

Persistent link: https://www.econbiz.de/10012285176

Dynamical macroprudential stress testing using network theory

Levy Carciente, Sary; Kenett, Dror Y.; Avakian, Adam; … - In: Journal of banking & finance 59 (2015), pp. 164-181

Persistent link: https://www.econbiz.de/10011544421

Evaluating systemic risk using bank default probabilities in financial networks

Souza, Sergio Rubens Stancato de; Silva, Thiago Christiano - In: Journal of economic dynamics & control 66 (2016), pp. 54-75

Persistent link: https://www.econbiz.de/10011708369

An agent-based model for financial vulnerability

Bookstaber, Richard M.; Paddrik, Mark; Tivnan, Brian - In: Journal of economic interaction and coordination : JEIC 13 (2018) 2, pp. 433-466

Persistent link: https://www.econbiz.de/10011962259

Chapter 6. Models of Financial Stability and Their Application in Stress Tests

Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, … - In: Handbook of computational economics : Volume 4: …, (pp. 329-391). 2018

give an overview of applications to stress testing, including both microprudential and macroprudential stress tests …

Persistent link: https://www.econbiz.de/10014024350