Search Results - subject_exact:"Stresstest"

Who's afraid of carbon transition risk? : a climate stress test of Dutch pension funds

Dillema, Allert Jan; Kolman, Vivienne; Dijk, Mathijs van - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015617937

Wiersema, Garbrand; Kemp, Esti; Farmer, J. Doyne - 2026

The financial crisis of 2007-2008 highlighted the risks that liquidity spirals pose to financial stability. We introduce a novel method for studying liquidity spirals and use this method to identify spirals before stock prices plummet and funding markets lock up. We show that liquidity spirals...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015592365

Climate transition risks in Chile's banking industry: a loan-level stress test

Córdova, Julio Felipe; Pinto, Francisco; Salas, Mauricio - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015625202

Liquidity stress tests for fixed-income mutual fund: an application for Chile

Gallardo, Tamara; Martínez, Fernando; Muñoz, Matías; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015625227

Disciplining digital risk : evidence from cyber stress tests

Abidi, Nordine; Gambacorta, Leonardo; Kok Sørensen, … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015668352

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Disciplining digital risk : evidence from cyber stress tests

Abidi, Nordine; Gambacorta, Leonardo; Kok Sørensen, … - 2026

Book / Working Paper

Disciplining digital risk : evidence from cyber stress tests

Abidi, Nordine; Gambacorta, Leonardo; Kok Sørensen, … - 2026

Book / Working Paper

Assessing climate risks in Uruguay's banks using NGFS short-term scenarios

Barón, Andrea; Dassatti Camors, Cecilia; Lavagna, Gabriela - 2026

The agricultural sector is a key driver of the Uruguayan economy, making it particularly vulnerable to hydrometeorological events. This paper assesses the impact of severe physical risk events - combining droughts, heatwaves, and wildfires - on the capital position of Uruguayan banks, using the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015643949

Sustainability of pension reforms : an EU-wide political stress test

Hindriks, Jean; Cetin, Sefane - 2026

Many countries have implemented a variety of pension reforms in response to the challenges posed by an aging population. These reforms typically involve a trade-off between 'refinancing' (i.e., increasing contributions) and 'retrenchment' (i.e., reducing benefits). The primary question addressed...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015647154

A climate stress testing exercise on loans to European small and medium enterprises

Chen, Yujia; Ding, Zhenghong; Barbaglia, Luca; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015632732

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A climate stress testing exercise on loans to European small and medium enterprises

Chen, Yujia; Ding, Zhenghong; Barbaglia, Luca; … - 2025

Book / Working Paper

Cyber risk stress testing for banks

Baudino, Patrizia - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015633760

Developing a risk-based stress testing framework for microfinance banks in Uzbekistan : a SVAR approach

Nematov, Farrukh - 2026

This paper develops a risk-based stress-testing framework for emerging microfinance banks using a structural vector autoregressive (SVAR) approach. The model captures the dynamic transmission of key macroeconomic shocks, including economic activity, monetary policy, and exchange-rate movements,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015634066

How severe are European regulatory stress test scenarios? : a probabilistic calibration for the euro area

Dallari, Pietro; Gattini, Luca - 2026

This paper applies the Growth-at-Risk (GaR) framework to assess downside risks to euro area GDP growth, and it examines its usefulness for stress testing. Supervisory stress-test scenarios are often criticized for being either too mild or implausibly severe, raising questions about calibration....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015560826

Life insurance stress test : 2025 results

2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015549087

Literature review on the stress tests developed and applied in non-food supply chains

2025

This report presents the results of a literature review on stress tests developed and applied in non-food supply chains. The primary focus of the project is on quantitative and qualitative methodologies applied in the literature for stress testing non-food supply chains, their advantages and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015322731

Climate risk stress testing : a survey and classification

Reinders, Henk Jan; Schoenmaker, Dirk; Dijk, Mathijs van - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015332604

Systemic Risk Modelling System (SRMS) : a macroprudential stress testing model

Naruševičius, Laurynas; Mikaliūnaitė-Jouvanceau, Ieva - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015190453

Taxes under stress : bank stress tests and corporate tax planning

Francis, Bill B.; García, Raffi E.; Harithsa, Jyothsna G. - 2025

Purpose - This paper aims to examine how bank stress tests affect bank tax planning. Design/methodology/approach - The study uses US bank stress test bank size thresholds and a regression discontinuity design to investigate the effect of the Dodd-Frank Act and the instituted bank stress tests on...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015198275

Systemic risk in markets with multiple central counterparties

Veraart, Luitgard A. M.; Aldasoro, Iñaki - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015359037

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Systemic risk in markets with multiple central counterparties

Veraart, Luitgard A. M.; Aldasoro, Iñaki - 2022

Book / Working Paper

Indonesia : Financial Sector Assessment Program-Technical Note on Stress Testing and Systemic Risk Analysis

2025

The FSAP team undertook a thorough top-down corporate and bank solvency, bank liquidity stress tests as well as analysis of interconnectedness using mid-2023 data. This note covers the methodology and results of the scenario-based solvency test, the single factor sensitivity analysis, the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015327999

Seychelles : Technical Assistance Report-Macroprudential Stress Testing and Climate Risk Analysis

2025

The Technical Assistance (TA) mission, conducted in Victoria, Seychelles, from May 2 to 17, 2023, assisted authorities with macroprudential stress testing and climate risk analysis. The stress testing focused on strengthening the solvency and liquidity frameworks: (i) for solvency, considering...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015328114

Toward a common methodology for restructuring sovereign domestic debt

Grigorian, David A. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015424094

Stress Testing the Albanian Banking Sector : A Decade Post-FSAP

Koosakul, Jakree - 2025

Over the past decade, the Albanian banking sector has undergone a remarkable transformation amid strong macroeconomic performance and sound financial reforms. Nevertheless, pockets of vulnerability remain, including some that were identified during the IMF's 2014 Financial Sector Assessment...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015452020

Slovak Republic : Financial Sector Assessment Program-Technical Note on Systemic Risk Analysis and Stress Testing

2025

This technical note focuses on systemic risk analysis and stress testing as part of the Slovak Republic's Financial Sector Assessment Program. The FSAP for the Slovak Republic implemented an extensive analysis of systemic risks and assessed the resilience of the banking sector. It identified key...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015452063

Barbados : Stress testing

Jakubik, Petr - 2025

The technical assistance mission developed a multi-factor, multi-period solvency stress testing framework for banks supervised by the Central Bank of Barbados (CBB) and credit unions supervised by the Financial Services Commission (FSC). This framework is built around explicit macroeconomic...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015452080

Gaming the Test? Window-dressing and portfolio similarity around the EU-wide stress tests

2025

This study investigates the impact of supervisory stress testing on banks' behaviors and their systemic risk implications. Utilizing confidential supervisory data from the European Banking Authority's EU-wide stress tests in 2021 and 2023, we employ a difference-in-differences framework to...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015452757

Handbook for cyber stress tests

2025

In this handbook, we define a cyber stress test as 'a targeted assessment of the resilience of individual organisations and their ability to withstand and recover from significant cybersecurity incidents, ensuring the provision of critical services, in different risk scenarios.' Stress tests...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015452902

Bank lending implications of climate stress tests

2025

Do climate stress tests affect bank credit supply to brown firms? Using a difference-in-differences approach and detailed data on individual bank loans in the euro area, this paper provides novel evidence on the effects of the ECB's 2022 climate risk stress test. Despite no capital implications...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015452947

2025 stress test of euro area banks : final results : August 2025

2025

ECB Banking Supervision has concluded its 2025 solvency stress test for euro area significant institutions. A total of 51 significant institutions directly supervised by the ECB took part in the EU-wide stress test coordinated by the European Banking Authority (EBA) in cooperation with the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015453034

Climate stress test for the German banking sector : impact of the green transition on corporate loan portfolios

Gross, Christian; Kuntz, Laura-Chloé; Niederauer, Simon; … - 2025

We develop a novel stress testing framework to quantify the risks to the German banking sector from the green transition. Our methodology combines a macro-level and a micro-level approach to calculate scenario-dependent probabilities of default and losses. The macro approach leverages...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015410354

System-wide financial stress testing in Luxembourg

Fique, José; Jin, Xisong - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015457503

Dynamic balance sheet simulation and credit default prediction: a stress test model for Colombian firms

Cuesta-Mora, Diego Fernando; Gómez, Camilo - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015461306

Financial stability under climate stress : empirical evidence from Namibia

Kaune, Jaungura; Esterhuizen, Andy; Undji, Valdemar - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015461365

Stress testing Ghana's debt sustainability analysis 2010-2021

Aboagye, Anthony Qabitoo Quame - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015441801

The impact of credit default swaps on systemic risk : macroprudential solvency and liquidity stress testing

Farkasa, Walter; Sandmeier, Fabian - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609691

Switzerland : Financial Sector Assessment Program-Technical Note on Systemic Risk Analysis and Stress Testing

2025

The Swiss financial system has navigated turbulent times since the 2019 FSAP. The COVID 19 pandemic, geopolitical conflicts, and the collapse of Credit Suisse (CS) in 2023—previously the second largest G-SIB relative to domestic GDP in the world—have tested the resilience of the Swiss...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015612837

Euro Area : Publication of Financial Sector Assessment Program Documentation-Technical Note on Stress Testing the Banking Sector

2025

This technical note (TN) focuses on the euro area (EA) banking sector, which has weathered a succession of shocks over the past few years with notable resilience. Strong starting capital positions, ample liquidity and a diversified deposit base allowed banks to absorb the effects of the COVID-19...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015613211

Higher-order exposures

Wiersema, Garbrand; Kleinnijenhuis, Alissa M.; Kemp, Esti; … - 2025

Traditional exposure measures focus on direct exposures to evaluate the losses an institution is exposed to upon the default of a counterparty. Since the Global Financial Crisis of 2007-2008, the importance of indirect exposures via common asset holdings is increasingly recognized. Yet direct...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015550955

Gaming the test? : window-dressing and portfolio similarity around the EU-wide stress tests

Cuzzola, Angelo; Barbieri, Claudio; Hałaj, Grzegorz - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015550968

Climate Transition Risk Stress Testing Framework for the Banking Sector in Albania

2025

This first climate transition risk stress test for the Albanian banking sector assesses the macroeconomic and financial sector implications of Albania's shift to a low-carbon economy under different climate policy scenarios. It builds upon earlier exposure analyses conducted for the Albanian...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015556996

A quick stress testing methodology for Irish banks

Bro de Comères, Quentin; Mugrabi, Farah; Lyons, Paul - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015481393

Bank lending implications of climate stress tests

De Cicco, Valentina; Gschossmann, Isabella; Kok … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015550463

Japan : Financial Sector Assessment Program-Technical Note on Systemic Risk Analysis and Stress Testing

2024

The Japanese financial system has remained resilient through a series of shocks including the COVID-19 pandemic. Japan's large and globally well-integrated financial system withstood the pandemic shock, aided by strong capital and liquidity buffers and extensive policy support. Credit provision...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015058449

Botswana : Financial Sector Assessment Program-Technical Note on Stress Testing and Systemic Risk Analysis for Insurers and Retirement Funds

2024

The FSAP mission conducted a risk analysis for large insurance companies and retirement funds. Building on the narrative of the adverse macrofinancial scenario also used in the banking ST, the focus of the analysis in the insurance sector was on solvency. Sensitivity analyses, e.g., interest...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015058629

Maldives : Financial Sector Assessment Program-Technical Note on Bank Stress Testing and Climate Risk Analysis

2024

This paper presents a technical note on bank stress testing and climate risks analysis in Maldives. Although the Maldives' economy has rebounded strongly from the pandemic-induced contraction, macro and financial vulnerabilities remain. The stress test results broadly corroborated the identified...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015058739

A portfolio perspective on euro area bank profitability using stress test data

Mirza, Harun; Salleo, Carmelo; Trachana, Zoe - 2024

This study assesses euro area banks' profitability using granular stress test data from three EU-wide exercises, coordinated by the European Banking Authority, that took place in 2016, 2018, and 2021. We propose a credit portfolio-level risk-adjusted return on assets for the euro area as a whole...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015061511

Distress prediction and stress testing of nonfinancial firms : case of Mongolia

Damdinjav, Davaasukh; Batjargal, Dulamzaya; Batmunkh, Ninjin - 2024

This paper investigates the resilience of non-financial firms in Mongolia against financial distress. Utilizing firm-level financial data from 2013 to 2022, we employed a LASSO variable selection technique and logistic regression analysis to develop a distress prediction model for these firms....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014635266

Stock markets and stress test announcements : evidence from European Banks

Floros, Christos; Karpouzis, Efstathios; Daskalakis, … - 2024

This paper examines the market reaction to the European bank stress test announcement and results release events. Using event study methodology (calculating abnormal returns on a three-day period around the event dates), we find that the market reacts differently between the announcement event...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014636184

Climate stress tests, bank lending, and the transition to the carbon-neutral economy

Fuchs, Larissa; Ngyuen, Huyen; Nguyen, Trang; Schaeck, Klaus - 2024 - This version: 10.06.2024

We ask if bank supervisors’ efforts to combat climate change affect banks' lending and their borrowers’ transition to the carbon-neutral economy. Combining information from the French supervisory agency’s climate pilot exercise with borrowers' emission data, we first show that banks that...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014546249

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Climate stress tests, bank lending, and the transition to the carbon-neutral economy

Fuchs, Larissa; Ngyuen, Huyen; Nguyen, Trang; Schaeck, Klaus - 2024

Book / Working Paper

Climate Stress Tests, Bank Lending, and the Transition to the Carbon-Neutral Economy

Fuchs, Larissa; Nguyen, Huyen; Nguyen, Trang; Schaeck, Klaus - 2023

Book / Working Paper

The effects of the EBA's stress testing framework on banks' lending

Ahmed, Kasim; Calice, Giovanni - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014547950

The impact of transitory climate risk on firm valuation and financial institutions : a stress test approach

Schult, Alexander; Müller, Sebastian; Friedl, Gunther; … - 2024

Addressing recent calls by European regulatory and supervisory authorities, we develop a new bottom-up climate risk assessment method to examine the resilience of the European banking industry regarding transitory climate risks. We illustrate our approach by estimating the impact of a 50-100 EUR...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014551027

Luxembourg : Financial Sector Assessment Program—Technical Note on Stress Testing and Systemic Risk Analysis

2024

The Luxembourg financial system is highly interconnected, diverse and complex. It has displayed a high level of resilience in the past but currently faces a backdrop of heightened economic, financial, and geopolitical uncertainty. Investment funds have grown since the 2017 FSAP, while their...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015080306