Stress Test of Banks in India: A VAR Approach
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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.
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More about this item
KeywordsMacro Stress test; Non-performing Assets; Impulse response function; Vector Auto Regression; Granger Causality;
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-BAN-2015-06-27 (Banking)
- NEP-CBA-2015-06-27 (Central Banking)
- NEP-FMK-2015-06-27 (Financial Markets)
- NEP-MAC-2015-06-27 (Macroeconomics)
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