The recapitalization needs of European banks if a new financial crisis occurs
This paper computes the total recapitalization needs of the banking sector of each European country in case of a new systemic financial crisis. These estimations are based on the estimated capital shortages of big individual banks published by the Volatility Laboratory of New York University Stern Business School and the Center for Risk Management of Lausanne.
|Date of creation:||Oct 2013|
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- Acharya, Viral V & Engle III, Robert F & Pierret, Diane, 2013.
"Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights,"
CEPR Discussion Papers
9431, C.E.P.R. Discussion Papers.
- Acharya, Viral & Engle, Robert & Pierret, Diane, 2014. "Testing macroprudential stress tests: The risk of regulatory risk weights," Journal of Monetary Economics, Elsevier, vol. 65(C), pages 36-53.
- Viral V. Acharya & Robert Engle & Diane Pierret, 2013. "Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights," NBER Working Papers 18968, National Bureau of Economic Research, Inc.
- Acharya, Viral V & Engle III, Robert F & Pierret, Diane, 2014. "Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights," CEPR Discussion Papers 9800, C.E.P.R. Discussion Papers.
- Viral Acharya & Robert Engle & Matthew Richardson, 2012. "Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks," American Economic Review, American Economic Association, vol. 102(3), pages 59-64, May.
- Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-50, July.
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