The Exposure of Swiss Banks to Macroeconomic Shocks - an Empirical Investigation
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- Schechtman, Ricardo & Gaglianone, Wagner Piazza, 2012.
"Macro stress testing of credit risk focused on the tails,"
Journal of Financial Stability,
Elsevier, vol. 8(3), pages 174-192.
- Ricardo Schechtman & Wagner Piazza Gaglianone, 2011. "Macro Stress Testing of Credit Risk Focused on the Tails," Working Papers Series 241, Central Bank of Brazil, Research Department.
- repec:mbr:jmonec:v:6:y:2012:i:3:p:163-189 is not listed on IDEAS
- Coffinet, J. & Lin, S. & Martin, C., 2009. "Stress testing French banks' income subcomponents," Working papers 242, Banque de France.
- Busch, Ramona & Koziol, Philipp & Mitrovic, Marc, 2015. "Many a little makes a mickle: Macro portfolio stress test for small and medium-sized German banks," Discussion Papers 23/2015, Deutsche Bundesbank.
- Albert, Stéphane, 2015. "US bank holding companies: Structure of activities and performance through the cycles," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 253-269.
- Patrick Van Roy & Stijn Ferrari & Cristina Vespro, 2018. "Sensitivity of credit risk stress test results: Modelling issues with an application to Belgium," Working Paper Research 338, National Bank of Belgium.
- repec:eee:quaeco:v:68:y:2018:i:c:p:237-253 is not listed on IDEAS
More about this item
Keywordsbanking; macroeconomic shocks; stress tests; credit risk; interest rate risk; Switzerland;
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
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