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ARNIE in Action: The 2013 FSAP Stress Tests for the Austrian Banking System

Author

Listed:
  • Martin Feldkircher

    (Oesterreichische Nationalbank, Foreign Research Division)

  • Gerhard Fenz

    (Oesterreichische Nationalbank, Economic Analysis Divison)

  • Robert Ferstl

    (Off-Site Banking Analysis and Strategy Division)

  • Gerald Krenn

    (Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division)

  • Benjamin Neudorfer

    (Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division)

  • Claus Puhr

    (Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division)

  • Thomas Reininger

    (Oesterreichische Nationalbank, Foreign Research Division)

  • Stefan W. Schmitz

    (Oesterreichische Nationalbank)

  • Martin Schneider

    (Oesterreichische Nationalbank, Economic Analysis Divison)

  • Christoph Siebenbrunner
  • Michael Sigmund

    (Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division)

  • Ralph Spitzer

Abstract

No abstract is available for this item.

Suggested Citation

  • Martin Feldkircher & Gerhard Fenz & Robert Ferstl & Gerald Krenn & Benjamin Neudorfer & Claus Puhr & Thomas Reininger & Stefan W. Schmitz & Martin Schneider & Christoph Siebenbrunner & Michael Sigmund, 2013. "ARNIE in Action: The 2013 FSAP Stress Tests for the Austrian Banking System," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 26, pages 100-118.
    • Handle: RePEc:onb:oenbfs:y:2013:i:26:b:4
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    File URL: https://www.oenb.at/dam/jcr:ac6beb8c-b44f-42df-8d72-9de50bb0aa50/fsr_26_report_special_topics4.pdf
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    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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    Cited by:

    1. Martin Guth & Christian Lipp & Claus Puhr & Martin Schneider, 2020. "Modeling the COVID-19 effects on the Austrian economy and banking system," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 40, pages 63-86.
    2. Pierluigi Bologna & Anatoli Segura, 2017. "Integrating Stress Tests within the Basel III Capital Framework: A Macroprudentially Coherent Approach," Journal of Financial Regulation, Oxford University Press, vol. 3(2), pages 159-186.
    3. Anastasios Petropoulos & Vasilis Siakoulis & Dionysios Mylonas & Aristotelis Klamargias, 2018. "A combined statistical framework for forecasting default rates of Greek Financial Institutions' credit portfolios," Working Papers 243, Bank of Greece.
    4. Martin Guth & Jannika Hesse & Csilla Königswieser & Gerald Krenn & Christian Lipp & Benjamin Neudorfer & Martin Schneider & Philipp Weiss, 2021. "OeNB climate risk stress test – modeling a carbon price shock for the Austrian banking sector," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 42, pages 27-45.
    5. Nicolas Albacete & Judith Eidenberger & Gerald Krenn & Peter Lindner & Michael Sigmund, 2014. "Risk-Bearing Capacity of Households – Linking Micro-Level Data to the Macroprudential Toolkit," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 27, pages 95-110.
    6. Christoph Siebenbrunner, 2021. "Quantifying the importance of different contagion channels as sources of systemic risk," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(1), pages 103-131, January.
    7. Anastasios Petropoulos & Vassilis Siakoulis & Konstantinos P. Panousis & Loukas Papadoulas & Sotirios Chatzis, 2020. "A Deep Learning Approach for Dynamic Balance Sheet Stress Testing," Papers 2009.11075, arXiv.org, revised Sep 2022.
    8. Patrick Van Roy & Stijn Ferrari & Cristina Vespro, 2018. "Sensitivity of credit risk stress test results: Modelling issues with an application to Belgium," Working Paper Research 338, National Bank of Belgium.
    9. Ferrari, Stijn & Van Roy, Patrick & Vespro, Cristina, 2021. "Sensitivity of credit risk stress test results: Modelling issues with an application to Belgium," Journal of Financial Stability, Elsevier, vol. 52(C).
    10. Mr. Dimitri G Demekas, 2015. "Designing Effective Macroprudential Stress Tests: Progress So Far and the Way Forward," IMF Working Papers 2015/146, International Monetary Fund.

    More about this item

    Keywords

    financial stability; stress testing; FSAP;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • F23 - International Economics - - International Factor Movements and International Business - - - Multinational Firms; International Business

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