An MVAR Framework to Capture Extreme Events in Macroprudential Stress Tests
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References listed on IDEAS
- Glenn Hoggarth & Steffen Sorensen & Lea Zicchino, 2005. "Stress tests of UK banks using a VAR approach," Bank of England working papers 282, Bank of England.
- Abdelaziz Rouabah & John Theal, 2010. "Stress testing: The impact of shocks on the capital needs of the Luxembourg banking sector," BCL working papers 47, Central Bank of Luxembourg.
- Katarzyna Maciejowska, 2010. "Estimation methods comparison of SVAR model with the mixture of two normal distributions - Monte Carlo analysis," Economics Working Papers ECO2010/27, European University Institute.
- Romuald Morhs, 2010. "Monetary Policy Transmission and Macroeconomic Dynamics in Luxembourg: Results from a VAR Analysis," BCL working papers 49, Central Bank of Luxembourg.
- Yan, Yan & Barry, Peter J. & Paulson, Nicholas D. & Schnitkey, Gary D., 2009. "Measurement of Farm Credit Risk: SUR Model and Simulation Approach," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49222, Agricultural and Applied Economics Association.
More about this item
Keywordsfinancial stability; stress testing; MVAR; mixture of normals; VAR; tier 1 capital ratio; counterparty risk; Luxembourg banking sector;
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-01 (All new papers)
- NEP-BAN-2011-11-01 (Banking)
- NEP-CBA-2011-11-01 (Central Banking)
- NEP-ECM-2011-11-01 (Econometrics)
- NEP-RMG-2011-11-01 (Risk Management)
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