IDEAS home Printed from https://ideas.repec.org/r/bfr/decfin/26.html

Back-testing European stress tests

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Cecilia Parlatore, 2018. "Designing Stress Scenarios," 2018 Meeting Papers 1090, Society for Economic Dynamics.
  2. Kleszcz Klaudia & Nehrebecka Natalia, 2020. "Financial liability stress tests: an approach based on the use of a rating migration matrix," Central European Economic Journal, Sciendo, vol. 7(54), pages 12-32, January.
  3. Henri Fraisse & Christophe Hurlin, 2024. "Modèles internes des banques pour le calcul du capital réglementaire (IRB) et intelligence artificielle," Débats Economiques et financiers 44, Banque de France.
  4. Cyril Pouvelle., 2022. "An Analysis of Financial Conglomerate Resilience: A Perspective on bancassurance in France [Une analyse de la résilience des conglomérats financiers : Une perspective sur la bancassurance en France]," Débats Economiques et financiers 39, Banque de France.
  5. Guerrieri, Luca & Modugno, Michele, 2024. "The information content of stress test announcements," Journal of Banking & Finance, Elsevier, vol. 160(C).
  6. David M. Arseneau, 2020. "How Would U.S. Banks Fare in a Negative Interest Rate Environment?," International Journal of Central Banking, International Journal of Central Banking, vol. 16(5), pages 269-308, October.
  7. Fulvia Fringuellotti & Thomas Kroen, 2024. "Payout Restrictions and Bank Risk-Shifting," Staff Reports 1123, Federal Reserve Bank of New York.
  8. Tirupam Goel & Isha Agarwal, 2021. "Limits of stress-test based bank regulation," BIS Working Papers 953, Bank for International Settlements.
  9. Rendón, Juan F. & Cortés, Lina M. & Perote, Javier, 2025. "Modeling the procyclical impact of monetary policy on bank leverage: A stochastic macroprudential approach," Journal of Financial Stability, Elsevier, vol. 79(C).
  10. Niepmann, Friederike & Stebunovs, Viktors, 2024. "Modeling your stress away," Journal of Banking & Finance, Elsevier, vol. 158(C).
  11. Robert McKeown, 2017. "How Vulnerable Is The Canadian Banking System To Fire-sales?," Working Paper 1381, Economics Department, Queen's University.
  12. 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.
  13. Wang, Zheqi & Crook, Jonathan & Andreeva, Galina, 2020. "Reducing estimation risk using a Bayesian posterior distribution approach: Application to stress testing mortgage loan default," European Journal of Operational Research, Elsevier, vol. 287(2), pages 725-738.
  14. Ramadiah, Amanah & Fricke, Daniel & Caccioli, Fabio, 2022. "Backtesting macroprudential stress tests," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
  15. Lukas Ahnert & Pascal Vogt & Volker Vonhoff & Florian Weigert, 2020. "Regulatory stress testing and bank performance," European Financial Management, European Financial Management Association, vol. 26(5), pages 1449-1488, November.
  16. Bakoush, Mohamed & Gerding, Enrico & Mishra, Tapas & Wolfe, Simon, 2022. "An integrated macroprudential stress test of bank liquidity and solvency," Journal of Financial Stability, Elsevier, vol. 60(C).
  17. Stéphane Loisel, 2014. "Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views," Post-Print hal-02013669, HAL.
  18. Agarwal, Isha & Goel, Tirupam, 2024. "Bank regulation and supervision: A symbiotic relationship," Journal of Banking & Finance, Elsevier, vol. 163(C).
  19. Ahnert, Lukas & Vogt, Pascal & Vonhoff, Volker & Weigert, Florian, 2020. "Regulatory stress testing and bank performance," CFR Working Papers 20-03, University of Cologne, Centre for Financial Research (CFR).
  20. Sahin, Cenkhan & de Haan, Jakob & Neretina, Ekaterina, 2020. "Banking stress test effects on returns and risks," Journal of Banking & Finance, Elsevier, vol. 117(C).
  21. J. Hombert & V. Lyonnet, 2017. "Intergenerational Risk Sharing in Life Insurance: Evidence from France," Débats Economiques et financiers 30, Banque de France.
  22. Bro de Comères, Quentin & Mugrabi, Farah & Lyons, Paul, 2025. "A Quick Stress Testing Methodology for Irish Banks," Research Technical Papers 17/RT/25, Central Bank of Ireland.
  23. Monnet, Eric & , & Ungaro, Stefano, 2021. "The Real Effects of Bank Runs. Evidence from the French Great Depression (1930-1931)," CEPR Discussion Papers 16054, C.E.P.R. Discussion Papers.
  24. Denisa Banulescu-Radu & Christophe Hurlin & Jérémy Leymarie & Olivier Scaillet, 2021. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Management Science, INFORMS, vol. 67(9), pages 5730-5754, September.
  25. McKeown, Robert, 2017. "How vulnerable is the Canadian banking system to fire-sales?," Queen's Economics Department Working Papers 274707, Queen's University - Department of Economics.
  26. J. Hernández & J. Población & N. Suárez & J. Tarancón, 2025. "A study on the EBA stress test results: influence of bank-, portfolio-, and country-level characteristics," Journal of Banking Regulation, Palgrave Macmillan, vol. 26(3), pages 408-432, September.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.