Simulation based stress tests of banks' regulatory capital adequacy

Citations

Cited by:

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2. Jiahai Yuan & Mengya Wu & Weirong Zhang & Yu Guo & Minpeng Xiong, 2018. "Coal Power Environmental Stress Testing in China," Sustainability, MDPI, vol. 10(7), pages 1-19, June.
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4. Jokipii, Terhi & Milne, Alistair, 2008. "The cyclical behaviour of European bank capital buffers," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1440-1451, August.
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   • Jokipii, Terhi & Milne, Alistair, 2007. "The Cyclical Behaviour of European Bank Capital Buffers," SIFR Research Report Series 56, Institute for Financial Research.
5. Mr. Jaromir Benes & Mr. Michael Kumhof, 2011. "Risky Bank Lending and Optimal Capital Adequacy Regulation," IMF Working Papers 2011/130, International Monetary Fund.
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7. Koopman, Siem Jan & Lucas, Andre & Klaassen, Pieter, 2005. "Empirical credit cycles and capital buffer formation," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3159-3179, December.
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9. Boubacar Camara & Laetitia Lepetit & Amine Tarazi, 2013. "Ex ante capital position, changes in the different components of regulatory capital and bank risk," Applied Economics, Taylor & Francis Journals, vol. 45(34), pages 4831-4856, December.
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11. Frache, Serafín & García-Cicco, Javier & Ponce, Jorge, 2023. "Countercyclical prudential tools in an estimated DSGE model," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(3).
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13. Ines Drumond, 2009. "Bank Capital Requirements, Business Cycle Fluctuations And The Basel Accords: A Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 23(5), pages 798-830, December.
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14. Kim, Joocheol & Lee, Duyeol, 2007. "Simulation based approach for measuring concentration risk," MPRA Paper 2968, University Library of Munich, Germany, revised 19 Apr 2007.
15. Nancy Masschelein, 2007. "Monitoring pro-cyclicality under the capital requirements directive : preliminary concepts for developing a framework," Working Paper Document 120, National Bank of Belgium.
16. Ferrer, Alex & Casals, José & Sotoca, Sonia, 2015. "Capital cyclicality, conditional coverage and long-term capital assessment," Finance Research Letters, Elsevier, vol. 15(C), pages 246-256.
17. Buncic, Daniel & Melecky, Martin, 2013. "Macroprudential stress testing of credit risk: A practical approach for policy makers," Journal of Financial Stability, Elsevier, vol. 9(3), pages 347-370.
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18. Borio, Claudio & Zhu, Haibin, 2012. "Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?," Journal of Financial Stability, Elsevier, vol. 8(4), pages 236-251.
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19. Ly, Kim Cuong & Shimizu, Katsutoshi, 2021. "Did Basel regulation cause a significant procyclicality?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
20. Pompella Maurizio & Dicanio Antonio, 2016. "Bank Vulnerability and Financial Soundness Testing: The Bank Resilience Index," Ekonomika (Economics), Sciendo, vol. 95(3), pages 52-63, December.
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22. Pawel Siarka, 2012. "Implementation of the Stress Test Methods in the Retail Portfolio," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 2(6), pages 1-2.
23. Katsutoshi Shimizu & Kim Cuong Ly, 2018. "Did Basel regulations cause a significant procyclicality?," Working Papers 2018-06, Swansea University, School of Management.
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25. Jokivuolle, Esa & Virolainen, Kimmo & Vähämaa, Oskari, 2008. "Macro-model-based stress testing of Basel II requirements," Research Discussion Papers 17/2008, Bank of Finland.
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27. Varotto, Simone, 2012. "Stress testing credit risk: The Great Depression scenario," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3133-3149.
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28. Dietrich, Diemo & Vollmer, Uwe, 2004. "Why do banks hold capital in excess of regulatory requirements? A functional approach," IWH Discussion Papers 192/2004, Halle Institute for Economic Research (IWH).
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29. Jacob A. Bikker & Paul A. J. Metzemakers, 2007. "Is Bank Capital Procyclical? A Cross-Country Analysis," Credit and Capital Markets, Credit and Capital Markets, vol. 40(2), pages 225-264.
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30. Juselius, Mikael & Tarashev, Nikola A., 2020. "Forecasting expected and unexpected losses," Bank of Finland Research Discussion Papers 18/2020, Bank of Finland.
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31. Jokipii, Terhi & Milne, Alistair, 2008. "The cyclical behaviour of European bank capital buffers," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1440-1451, August.
    • Jokipii, Terhi & Milne, Alistair, 2006. "The cyclical behaviour of European bank capital buffers," Bank of Finland Research Discussion Papers 17/2006, Bank of Finland.
    • Jokipii, Terhi & Milne, Alistair, 2007. "The Cyclical Behaviour of European Bank Capital Buffers," SIFR Research Report Series 56, Institute for Financial Research.
32. Gordy, Michael B. & Howells, Bradley, 2006. "Procyclicality in Basel II: Can we treat the disease without killing the patient?," Journal of Financial Intermediation, Elsevier, vol. 15(3), pages 395-417, July.
33. Mikael Juselius & Nikola Tarashev, 2022. "When uncertainty decouples expected and unexpected losses," BIS Working Papers 995, Bank for International Settlements.
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34. Athanasoglou, Panayiotis P. & Daniilidis, Ioannis & Delis, Manthos D., 2014. "Bank procyclicality and output: Issues and policies," Journal of Economics and Business, Elsevier, vol. 72(C), pages 58-83.
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35. A. P. Pati, 2017. "Credit Risk Stress Testing Practices in BRICS: Post-global Financial Crisis Scenario," Global Business Review, International Management Institute, vol. 18(4), pages 936-954, August.
36. Dawen Yan & Xiaohui Zhang & Mingzheng Wang, 2021. "A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations," Annals of Operations Research, Springer, vol. 299(1), pages 659-710, April.
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43. Lützenkirchen, Kristina & Rösch, Daniel & Scheule, Harald, 2014. "Asset portfolio securitizations and cyclicality of regulatory capital," European Journal of Operational Research, Elsevier, vol. 237(1), pages 289-302.
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