Stress testing: The impact of shocks on the capital needs of the Luxembourg banking sector
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Cited by:
- Paolo Guarda & Abdelaziz Rouabah & John Theal, 2011.
"An MVAR Framework to Capture Extreme Events in Macroprudential Stress Tests,"
BCL working papers
63, Central Bank of Luxembourg.
- Guarda, Paolo & Rouabah, Abdelaziz & Theal, John, 2012. "An MVAR framework to capture extreme events in macro-prudential stress tests," Working Paper Series 1464, European Central Bank.
- Jokivuolle, Esa & Virén, Matti, 2013. "Cyclical default and recovery in stress testing loan losses," Journal of Financial Stability, Elsevier, vol. 9(1), pages 139-149.
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More about this item
Keywords
financial stability; stress testing; Luxembourg banking sector; tier 1 capital ratio; counterparty risk;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G01 - Financial Economics - - General - - - Financial Crises
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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