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Year of publication
Subject
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Stresstest 250 Stress test 207 Bankrisiko 77 Bank risk 76 Bankenaufsicht 65 Bank 63 Banking supervision 63 USA 59 United States 59 Finanzkrise 52 Financial crisis 51 Kreditrisiko 51 Credit risk 50 Risikomanagement 43 Risk management 39 Systemic risk 38 Systemrisiko 38 Bankenliquidität 37 Basel Accord 37 Basler Akkord 37 Bank liquidity 36 EU countries 34 EU-Staaten 34 Finanzmarktaufsicht 33 Financial supervision 31 Theorie 26 Theory 25 Stress 21 Work stress 21 Financial sector 19 Finanzsektor 19 Bank regulation 16 Bankenregulierung 16 stress tests 15 Deutschland 14 Germany 13 Bankenkrise 12 stress test 12 Banking crisis 11 Financial system 11
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Online availability
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Free 88 Undetermined 73
Type of publication
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Book / Working Paper 148 Article 103
Type of publication (narrower categories)
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Graue Literatur 115 Non-commercial literature 115 Working Paper 82 Arbeitspapier 80 Article in journal 77 Aufsatz in Zeitschrift 77 Aufsatz im Buch 24 Book section 24 Collection of articles of several authors 7 Sammelwerk 7 Aufsatzsammlung 6 Hochschulschrift 5 Conference paper 4 Handbook 4 Handbuch 4 Konferenzbeitrag 4 Amtsdruckschrift 3 Government document 3 Thesis 2 Accompanied by computer file 1 Article 1 Case study 1 Collection of articles written by one author 1 Elektronischer Datenträger als Beilage 1 Fallstudie 1 Konferenzschrift 1 Mikroform 1 Research Report 1 Sammlung 1 Systematic review 1 Übersichtsarbeit 1
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Language
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English 223 German 20 Spanish 3 French 2 Norwegian 2 Russian 1
Author
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Ong, Li Lian 8 Jobst, Andreas A. 7 Acharya, Viral V. 6 Schmieder, Christian 6 Cont, Rama 5 Engle, Robert F. 5 Pierret, Diane 5 Sigmund, Michael 4 Strahan, Philip E. 4 Valderrama, Laura 4 Abbassi, Puriya 3 Andersen, Henrik 3 Aymanns, Christoph 3 Breuer, Thomas 3 Chan-Lau, Jorge A. 3 Demekas, Dimitri G. 3 Demyanyk, Yuliya 3 Fernandes, Marcelo 3 Geiersbach, Karsten 3 Gerdrup, Karsten R. 3 Homar, Timotej 3 Igan, Deniz 3 Iyer, Rajkamal 3 Johansen, Rønnaug M. 3 Kick, Heinrich 3 Kok Sørensen, Christoffer 3 Koziol, Philipp 3 Krogh, Tord 3 Li, Lei 3 Loutskina, Elena 3 Oura, Hiroko 3 Peydró, José-Luis 3 Pinheiro, Marcelo 3 Salleo, Carmelo 3 Schmitz, Stefan W. 3 Schumacher, Liliana 3 Soto, Paul E. 3 Steffen, Sascha 3 Amini, Hamed 2 Bidder, Rhys 2
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Institution
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Internationaler Währungsfonds 21 Basel Committee on Banking Supervision 2 Europäische Zentralbank 2 Bank für Internationalen Zahlungsausgleich / Währungs- und Wirtschaftsabteilung 1 Bank-Verlag GmbH 1 ESMA 1 Federal Reserve System / Board of Governors 1 Institut für Finanzstabilität 1 Leibniz-Institut für Wirtschaftsforschung Halle 1 National Bureau of Economic Research 1 Walter de Gruyter GmbH & Co. KG 1 epubli GmbH 1
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Published in...
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IMF country report 21 IMF working papers 12 Journal of risk management in financial institutions 11 Stress testing : principles, concepts, and frameworks 10 Discussion paper / Deutsche Bundesbank 8 Working paper / National Bureau of Economic Research, Inc. 6 Discussion paper / Centre for Economic Policy Research 4 Journal of financial stability 4 The journal of risk model validation 4 Journal of banking & finance 3 Working paper series / European Central Bank 3 Applied economics letters 2 DNB working paper 2 Danmarks Nationalbank working papers 2 Die Bank : Zeitschrift für Bankpolitik und Praxis 2 Essays on the measurement of credit risk 2 Financial stability report 2 Finanzmarktstabilitätsbericht 2 Journal of financial regulation 2 Monatsberichte / WIFO, Österreichisches Institut für Wirtschaftsforschung 2 Occasional studies / De Nederlandsche Bank 2 Revue d'économie financière : revue trimestrielle de l'Association d'Economie Financière 2 Serie documentos de trabajo / Universidad del CEMA 2 Staff memo / Norges Bank 2 Working paper / Basel Committee on Banking Supervision 2 Working paper / Norges Bank 2 Working papers / Federal Reserve Bank of Philadelphia, Research Department 2 Working papers series / Federal Reserve Bank of San Francisco 2 Aktual'nye monografii 1 Annals of finance 1 Annual review of financial economics 1 Applied economics 1 Applied quantitative finance 1 Asset pricing, financial intermediation and banking supervision in the aftermath of the financial crisis 1 BIS papers 1 BIS working papers 1 Barcelona GSE working paper series : working paper 1 Basel III, Risikomanagement und neue Bankenaufsicht 1 Cahiers d'etudes / Banque Centrale du Luxembourg 1 Central European economic journal 1
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Source
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ECONIS (ZBW) 247 EconStor 4
Showing 1 - 50 of 251
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United Kingdom : financial sector assessment program : financial system stability assessment
Internationaler Währungsfonds - 2022
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Persistent link: https://ebtypo.dmz1.zbw/10013168903
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South Africa : financial sector assessment program : financial system stability assessment
Internationaler Währungsfonds - 2022
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Can we take the "stress" out of stress testing? : applications of generalized structural equation modeling to consumer finance
Canals-Cerdá, José J. - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012431676
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Bank solvency stress tests with fire sales
Breuer, Thomas; Summer, Martin; Urošević, Branko - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012605950
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COVID-19 as a stress test : assessing the bank regulatory framework
Abboud, Alice; Duncan, Elizabeth; Horvath, Akos; … - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012608689
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Macroprudential stress test of the euro area banking system amid the coronavirus (COVID-19) pandemic
Europäische Zentralbank - 2021
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The Corona recession and bank stress in Germany
Gropp, Reint; Koetter, Michael; McShane, William - Leibniz-Institut für Wirtschaftsforschung Halle - 2020
We conduct stress tests for a large sample of German banks across different recoveries from the Corona recession. We find that, depending on how quickly the economy recovers, between 6% to 28% of banks could become distressed from defaulting corporate borrowers alone. Many of these banks are...
Persistent link: https://ebtypo.dmz1.zbw/10012243153
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Stress testing in Latin America : a comparison of approaches and methodologies
Cardozo, Pamela (contributor) - Bank für Internationalen Zahlungsausgleich / … - 2020
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Macroprudential stress testing : a proposal for the Luxembourg investment fund sector
Lee, Kang-Soek - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012213084
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Stressed banks? : evidence from the largest-ever supervisory review
Abbassi, Puriya; Iyer, Rajkamal; Peydró, José-Luis; … - 2020
Regulation needs effective supervision; but regulated entities may deviate with unobserved actions. For identification, we analyze banks, exploiting ECB’s asset-quality-review (AQR) and supervisory security and credit registers. After AQR announcement, reviewed banks reduce riskier securities...
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Persistent link: https://ebtypo.dmz1.zbw/10012214740
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Bank stress testing : public interest or regulatory capture?
Schneider, Thomas Ian; Strahan, Philip E.; Yang, Jun - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012216540
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Backtesting macroprudential stress tests
Ramadiah, Amanah; Fricke, Daniel; Caccioli, Fabio - 2020
In this paper, we consider models of price-mediated contagion in a banking networkof common asset holdings. For these models, the literature proposed two alternativeclasses of liquidation dynamics:threshold dynamics(banks liquidate their invest-ment portfolios only after they have defaulted),...
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Persistent link: https://ebtypo.dmz1.zbw/10012258918
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Stressed banks? : evidence from the largest-ever supervisory review
Abbassi, Puriya; Iyer, Rajkamal; Peydró, José-Luis; … - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012223850
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Stressed banks? : evidence from the largest-ever supervisory review
Abbassi, Puriya; Iyer, Rajkamal; Peydró, José-Luis; … - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012223919
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COVID-19: Europe needs a catastrophe relief plan
Bénassy-Quéré, Agnès; Marimon, Ramon; Pisani-Ferry, Jean - In: Europe in the time of Covid-19, (pp. 103-112). 2020
Persistent link: https://ebtypo.dmz1.zbw/10012225287
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InSTA - integrated stress-testing approach at NBP: the past, present and future perspectives
Borsuk, Marcin; Krzesicki, Oskar - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012231534
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The impact of regulatory stress tests on bank lending and Its macroeconomic consequences
Bräuning, Falk; Fillat Comenge, José Luis - 2020 - This version: October 2020
We use an expansive regulatory loan-level data set to analyze how the portfolios of the largest US banks have changed in response to the Dodd-Frank Act Stress Test (DFAST) requirements. We find that the portfolios of the largest banks, which are subject to stress-testing, have become more...
Persistent link: https://ebtypo.dmz1.zbw/10012395110
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Financial liability stress tests : an approach based on the use of a rating migration matrix
Kleszcz, Klaudia; Nehrebecka, Natalia - In: Central European economic journal 7 (2020) 54, pp. 13-32
The article addresses the issue of stress testing based on the probability of bankruptcy and a rating migration matrix. The analysis is conducted on a sample of listed companies in Poland in the years 1998-2016, and the forecasts are made for the years 2016-2018. Particular attention is paid to...
Persistent link: https://ebtypo.dmz1.zbw/10012303645
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Reverse Stress Testing : Scenario Design for Macroprudential Stress Tests
Baes, Michel - 2020
We propose a systematic algorithmic reverse-stress testing methodology to create ``worst case" scenarios for regulatory stress tests by accounting for losses that arise from distressed portfolio liquidations. First, we derive the optimal bank response for any given shock. Then, we introduce an...
Persistent link: https://ebtypo.dmz1.zbw/10012826089
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Stresstests und Carbon Risiken
Hellmich, Martin; Kiesel, Rüdiger; Siddiqui, Sikandar - In: Neue Geschäftsmodelle für Finanzinstitute - …, (pp. 1-17). 2022
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Liquidity at risk: Joint stress testing of solvency and liquidity
Cont, Rama; Kotlicki, Artur; Valderrama, Laura - 2019
The traditional approach to the stress testing of financial institutions focuses on capital adequacy and solvency. Liquidity stress tests are often applied in parallel to solvency stress tests, based on scenarios which may not be consistent with those used in solvency stress tests. We propose a...
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Et rammeverk for makrotilsynsstresstester
Andersen, Henrik; Gerdrup, Karsten R.; Johansen, Rønnaug M. - 2019
We present a macroprudential stress testing framework. While traditional stress testing assesses the level of banks' capital adequacy relative to regulatory requirements through a hypothetical crisis, macroprudential stress testing assesses macroeconomic consequences of the impact of banks'...
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Persistent link: https://ebtypo.dmz1.zbw/10012661591
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Liquidity at risk : joint stress testing of solvency and liquidity
Cont, Rama; Kotlicki, Artur; Valderrama, Laura - 2019
The traditional approach to the stress testing of financial institutions focuses on capital adequacy and solvency. Liquidity stress tests are often applied in parallel to solvency stress tests, based on scenarios which may not be consistent with those used in solvency stress tests. We propose a...
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Persistent link: https://ebtypo.dmz1.zbw/10012214292
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An Lonn Dubh: a framework for macroprudential stress testing of investment funds
Fiedor, Paweł; Katsoulis, Petros - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012219402
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Model and estimation risk in credit risk stress tests
Grundke, Peter; Pliszka, Kamil; Tuchscherer, Michael - 2019
This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and implementing a model can drive the results of a quantitative stress test for default probabilities. For this purpose, we employ several variations of a CreditPortfolioView-style model...
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Persistent link: https://ebtypo.dmz1.zbw/10011981523
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CoMap: mapping contagion in the euro area banking sector
Covi, Giovanni; Gorpe, Mehmet Ziya; Kok Sørensen, … - 2019
This paper presents a novel approach to investigate and model the network of euro area banks' large exposures within the global banking system. Drawing on a unique dataset, the paper documents the degree of interconnectedness and systemic risk of the euro area banking system based on bilateral...
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A macroprudential stress testing framework
Andersen, Henrik; Gerdrup, Karsten R.; Johansen, Rønnaug M. - 2019
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Stress testing networks : the case of central counterparties
Berner, Richard B.; Cecchetti, Stephen G.; Schoenholtz, … - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012006317
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Stress simulation for investment funds
ESMA - 2019
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Persistent link: https://ebtypo.dmz1.zbw/10012117967
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Et rammeverk for makrotilsynsstresstester
Andersen, Henrik; Gerdrup, Karsten R.; Johansen, Rønnaug M. - 2019
We present a macroprudential stress testing framework. While traditional stress testing assesses the level of banks' capital adequacy relative to regulatory requirements through a hypothetical crisis, macroprudential stress testing assesses macroeconomic consequences of the impact of banks'...
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Persistent link: https://ebtypo.dmz1.zbw/10012209965
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An Integrated Macroprudential Stress Test of Bank Liquidity and Solvency
Bakoush, Mohamed - 2019
We develop a macroprudential stress test to assess the resilience of banking systems. The proposed approach integrates liquidity risk and solvency risk and provides a convenient method to estimate the change in both of them based on the evolution of financial distress within the banking system....
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Reverse stress testing in banking : a comprehensive guide
Eichhorn, Michael (ed.); Bellini, Tiziano (ed.);  … - 2021
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Why Did Bank Stocks Crash During COVID-19?
Acharya, Viral V.; Engle, Robert F.; Steffen, Sascha - National Bureau of Economic Research - 2021
We study the crash of bank stock prices during the COVID-19 pandemic. We find evidence consistent with a "credit line drawdown channel". Stock prices of banks with large ex-ante exposures to undrawn credit lines as well as large ex-post gross drawdowns decline more. The effect is attenuated for...
Persistent link: https://ebtypo.dmz1.zbw/10012496112
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Breaking the bank? : the regulatory implications of knowledge production through indicators
Kempeneer, Shirley - 2021
In the aftermath of the 2008 financial crisis, governments introduced stress tests to measure and monitor banks' health. Breaking the Bank assesses whether the EU-wide banking stress test is a good regulatory tool. It deals with some of the key questions that still linger about the exercise: Do...
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An alternative approach to liquidity risk management of Islamic banks
Dolgun, Muhammed Habib; Mirakhor, Abbas - 2021
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Banking system stress testing and COVID-19 : a first summary appraisal
Henry, Jérôme - In: Journal of risk management in financial institutions 14 (2020/21) 1, pp. 7-24
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Sensitivity of credit risk stress test results : modelling issues with an application to Belgium
Van Roy, Patrick; Ferrari, Stijn; Vespro, Cristina - 2018
This paper assesses the sensitivity of solvency stress testing results to the choice of credit risk variable and level of data aggregation at which the stress test is conducted. In practice, both choices are often determined by technical considerations, such as data availability. Using data for...
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Stress tests and small business lending
Cortés, Kristle; Demyanyk, Yuliya; Li, Lei; Loutskina, … - 2018
Persistent link: https://ebtypo.dmz1.zbw/10011809231
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Macroprudential stress tests : a reduced-form approach to quantifying systemic risk losses
Alla, Zineddine; Espinoza, Raphael A.; Li, Qiaoluan H.; … - 2018
Persistent link: https://ebtypo.dmz1.zbw/10012213938
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A combined statistical framework for forecasting default rates of Greek financial institutions' credit portfolios
Petropoulos, Anastasios; Siakoulis, Vasilis; Mylonas, … - 2018
Persistent link: https://ebtypo.dmz1.zbw/10011855642
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Modeling your stress away
Niepmann, Friederike; Stebunovs, Viktors - 2018
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The vulnerability trends of the banking sector of Bangladesh : a stress testing approach
Sarker, Niluthpaul; Nahar, Shamsun - In: International journal of economics and financial issues … 8 (2018) 3, pp. 75-85
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From the horse's mouth : surveying responses to stress by banks and insurers
Brinkhoff, Jeroen; Langfield, Sam; Weeken, Olaf - 2018
Existing stress tests do not capture feedback loops between individual institutions and the financial system. To identify feedback loops, the European Systemic Risk Board has developed macroprudential surveys that ask banks and insurers how they would behave in a macroeconomic stress scenario....
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Financial stability and solvency of Algerian banks, application of stress tests from 2012 to 2016
Mehdi, Bouchetara - In: Financial markets, institutions and risks 2 (2018) 4, pp. 57-67
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Stress tests and small business lending
Cortés, Kristle; Demyanyk, Yuliya; Li, Lei; Loutskina, … - 2018
Persistent link: https://ebtypo.dmz1.zbw/10011814010
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Modeling your stress away
Niepmann, Friederike; Stebunovs, Viktors - 2018
We investigate systematic changes in banks' projected credit losses between the 2014 and 2016 EBA stress tests, employing methodology from Philippon et al. (2017). We find that projected credit losses were smoothed across the tests through systematic model adjustments. Those banks whose losses...
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The accuracy of alternative supervisory methodologies for the stress testing of credit risk
Jacobs, Michael <Jr.> - In: International journal of financial engineering and risk … 3 (2020) 3, pp. 254-296
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Bank management and control : strategy, pricing, capital and risk management
Wernz, Johannes - 2020 - Second edition
This book analyzes the effects of macroeconomic and regulatory developments such as the set of Basel III rules on planning. It also details advanced methods within risk management and describes macroeconomic scenarios for implementation.
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Persistent link: https://ebtypo.dmz1.zbw/10012657731
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Stress testing : principles, concepts, and frameworks
Ong, Li Lian (ed.); Jobst, Andreas A. (ed.) - 2020
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Stress tests of the household sector using microdata from survey and administrative sources
Meriküll, Jaanika; Rõõm, Tairi - In: International journal of central banking : IJCB 16 (2020) 2, pp. 203-248
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