Modeling Your Stress Away
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Abstract
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DOI: 10.17016/IFDP.2018.1232
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- Niepmann, Friederike & Stebunovs, Viktors, 2018. "Modeling Your Stress Away," CEPR Discussion Papers 12624, C.E.P.R. Discussion Papers.
References listed on IDEAS
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Cited by:
- Kok, Christoffer & Müller, Carola & Ongena, Steven & Pancaro, Cosimo, 2021.
"The disciplining effect of supervisory scrutiny in the EU-wide stress test,"
CEPR Discussion Papers
16157, C.E.P.R. Discussion Papers.
- Kok, Christoffer & Müller, Carola & Ongena, Steven & Pancaro, Cosimo, 2021. "The disciplining effect of supervisory scrutiny in the EU-wide stress test," Working Paper Series 2551, European Central Bank.
- Budnik, Katarzyna & Balatti, Mirco & Dimitrov, Ivan & Groß, Johannes & Kleemann, Michael & Reichenbachas, Tomas & Sanna, Francesco & Sarychev, Andrei & Siņenko, Nadežda & Volk, Matjaz, 2020. "Banking euro area stress test model," Working Paper Series 2469, European Central Bank.
- Haselmann, Rainer & Wahrenburg, Mark, 2018. "How demanding and consistent is the 2018 stress test design in comparison to previous exercises? Banking union scrutiny," SAFE White Paper Series 54, Leibniz Institute for Financial Research SAFE.
- Ramadiah, Amanah & Fricke, Daniel & Caccioli, Fabio, 2022.
"Backtesting macroprudential stress tests,"
Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
- Ramadiah, Amanah & Fricke, Daniel & Caccioli, Fabio, 2020. "Backtesting macroprudential stress tests," Discussion Papers 45/2020, Deutsche Bundesbank.
- Shapiro, Joel & Zeng, Jing, 2019. "Stress Testing and Bank Lending," CEPR Discussion Papers 13907, C.E.P.R. Discussion Papers.
- Henry Penikas & Anastasia Skarednova & Mikhail Surkov, 2021. "How Do Investors Prefer Banks to Transit to Basel Internal Models: Mandatorily or Voluntarily?," Bank of Russia Working Paper Series wps74, Bank of Russia.
- Hernández, Javier & Población García, Francisco Javier & Suárez, Nuria & Tarancón, Javier, 2022. "A study on the EBA stress test results: influence of bank, portfolio, and country-level characteristics," Working Paper Series 2648, European Central Bank.
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More about this item
Keywords
Stress tests; Financial institutions; Regulation; Credit risk models;All these keywords.
JEL classification:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2018-07-30 (Central Banking)
- NEP-RMG-2018-07-30 (Risk Management)
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