IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!)

Citations for "The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application"

by Drehmann, Mathias & Sorensen, Steffen & Stringa, Marco

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as
in new window


  1. Vasilios Manesiotis, 2011. "Numerical fiscal rules in practice," Economic Bulletin, Bank of Greece, issue 35, pages 7-13, June.
  2. Memmel, Christoph, 2011. "Banks' exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 282-289, February.
  3. Christensen, Jens H.E. & Lopez, Jose A. & Rudebusch, Glenn D., 2015. "A probability-based stress test of Federal Reserve assets and income," Journal of Monetary Economics, Elsevier, vol. 73(C), pages 26-43.
  4. Henry, Jérôme & Kok, Christoffer & Amzallag, Adrien & Baudino, Patrizia & Cabral, Inês & Grodzicki, Maciej & Gross, Marco & Halaj, Grzegorz & Kolb, Markus & Leber, Miha & Pancaro, Cosimo & Sydow, Matt, 2013. "A macro stress testing framework for assessing systemic risks in the banking sector," Occasional Paper Series 152, European Central Bank.
  5. Jianping Li & Xiaoqian Zhu & Cheng-Few Lee & Dengsheng Wu & Jichuang Feng & Yong Shi, 2015. "On the aggregation of credit, market and operational risks," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 161-189, January.
  6. Hasan, Iftekhar & Siddique, Akhtar & Sun, Xian, 2015. "Monitoring the “invisible” hand of market discipline: Capital adequacy revisited," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 475-492.
  7. International Monetary Fund, 2011. "United Kingdom; Stress Testing the Banking Sector Technical Note," IMF Staff Country Reports 11/227, International Monetary Fund.
  8. Kretzschmar, Gavin & McNeil, Alexander J. & Kirchner, Axel, 2010. "Integrated models of capital adequacy - Why banks are undercapitalised," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2838-2850, December.
  9. Khandani, Amir E. & Kim, Adlar J. & Lo, Andrew W., 2010. "Consumer credit-risk models via machine-learning algorithms," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2767-2787, November.
  10. Claudio Borio & Mathias Drehmann, 2011. "Toward an Operational Framework for Financial Stability: “Fuzzy” Measurement and Its Consequences," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.), Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 4, pages 063-123 Central Bank of Chile.
  11. Abedifar, Pejman & Hasan, Iftekhar & Tarazi, Amine, 2016. "Finance-growth nexus and dual-banking systems: Relative importance of Islamic banks," Journal of Economic Behavior & Organization, Elsevier, vol. 132(S), pages 198-215.
  12. Borio, Claudio & Drehmann, Mathias & Tsatsaronis, Kostas, 2014. "Stress-testing macro stress testing: Does it live up to expectations?," Journal of Financial Stability, Elsevier, vol. 12(C), pages 3-15.
  13. Mun, Kyung-Chun, 2016. "Hedging bank market risk with futures and forwards," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 112-125.
  14. Aisyah Rahman, 2010. "Financing structure and insolvency risk exposure of Islamic banks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(4), pages 419-440, December.
  15. Joyce, Michael A.S. & Lildholdt, Peter & Sorensen, Steffen, 2010. "Extracting inflation expectations and inflation risk premia from the term structure: A joint model of the UK nominal and real yield curves," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 281-294, February.
  16. Alessandri, Piergiorgio & Drehmann, Mathias, 2010. "An economic capital model integrating credit and interest rate risk in the banking book," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 730-742, April.
  17. Maxim Zagonov, 2011. "Securitization and Bank Intermediation Function," Finance zagonov-wpsz2011, Socionet.
  18. Francesco Grigoli & Mario Mansilla & Martín Saldías, 2016. "Macro-Financial Linkages and Heterogeneous Non-Performing Loans Projections; An Application to Ecuador," IMF Working Papers 16/236, .
  19. Baldan, Cinzia & Zen, Francesco & Rebonato, Tobia, 2012. "Liquidity risk and interest rate risk on banks: are they related?," MPRA Paper 41323, University Library of Munich, Germany.
  20. Cabral, Ricardo, 2013. "A perspective on the symptoms and causes of the financial crisis," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 103-117.
  21. Pejman Abedifar & Philip Molyneux & Amine Tarazi, 2013. "Risk in Islamic Banking," Review of Finance, European Finance Association, vol. 17(6), pages 2035-2096.
  22. Andre Lucas & Bastiaan Verhoef, 2012. "Aggregating Credit and Market Risk: The Impact of Model Specification," Tinbergen Institute Discussion Papers 12-057/2/DSF36, Tinbergen Institute.
  23. Piergiorgio Alessandri & Benjamin D. Nelson, 2015. "Simple Banking: Profitability and the Yield Curve," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(1), pages 143-175, 02.
  24. Dobromił Serwa, 2013. "Measuring Non-Performing Loans During (and After) Credit Booms," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 5(3), pages 163-183, September.
  25. Bellotti, Tony & Crook, Jonathan, 2013. "Forecasting and stress testing credit card default using dynamic models," International Journal of Forecasting, Elsevier, vol. 29(4), pages 563-574.
  26. Jaimes Caruana, 2013. "Measuring Systemic Risk," Chapters, in: Stability of the Financial System, chapter 9 Edward Elgar Publishing.
  27. Bellini, Tiziano, 2013. "Integrated bank risk modeling: A bottom-up statistical framework," European Journal of Operational Research, Elsevier, vol. 230(2), pages 385-398.
  28. Abdymomunov, Azamat & Gerlach, Jeffrey, 2014. "Stress testing interest rate risk exposure," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 287-301.
  29. Blöchlinger, Andreas, 2011. "Arbitrage-free credit pricing using default probabilities and risk sensitivities," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 268-281, February.
  30. FARAYIBI, Adesoji, 2016. "Stress Testing in the Nigerian Banking Sector," MPRA Paper 73615, University Library of Munich, Germany.
  31. Samitas, Aristeidis & Polyzos, Stathis, 2016. "Freeing Greece from capital controls: Were the restrictions enforced in time?," Research in International Business and Finance, Elsevier, vol. 37(C), pages 196-213.
  32. Chen, Hsiao-Jung & Lin, Kuan-Ting, 2016. "How do banks make the trade-offs among risks? The role of corporate governance," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 39-69.
  33. Pejman Abedifar & Philip Molyneux & Amine Tarazi, 2014. "Non-Interest Income Activities and Bank Lending," Working Papers hal-00947074, HAL.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.