An MVAR framework to capture extreme events in macro-prudential stress tests
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- 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.
References listed on IDEAS
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More about this item
Keywordscounterparty risk; Luxembourg banking sector; MVAR; stress testing; tier 1 capital ratio;
- 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-BAN-2012-09-16 (Banking)
- NEP-CBA-2012-09-16 (Central Banking)
- NEP-RMG-2012-09-16 (Risk Management)
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