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A coherent framework for stress-testing

Citations

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Cited by:

  1. Younes Bensalah, 2000. "Steps in Applying Extreme Value Theory to Finance: A Review," Staff Working Papers 00-20, Bank of Canada.
  2. Wanbing Zhang & Sisi Zhang & Peibiao Zhao, 2019. "On Double Value at Risk," Risks, MDPI, vol. 7(1), pages 1-22, March.
  3. Diebold, Francis X. & Yilmaz, Kamil, 2015. "Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring," OUP Catalogue, Oxford University Press, number 9780199338306.
  4. W. Scott Frame & Lawrence J. White, 2009. "Technological Change, Financial Innovation, and Diffusion in Banking," Working Papers 09-03, New York University, Leonard N. Stern School of Business, Department of Economics.
  5. Pompella Maurizio & Dicanio Antonio, 2016. "Bank Vulnerability and Financial Soundness Testing: The Bank Resilience Index," Ekonomika (Economics), Paradigm, vol. 95(3), pages 52-63, December.
  6. Alexander N. Bogin & Nataliya Polkovnichenko & William M. Doerner, 2015. "Additional Market Risk Shocks: Prepayment Uncertainty and Option-Adjusted Spreads," FHFA Staff Working Papers 15-03, Federal Housing Finance Agency.
  7. Michael Jacobs, 2016. "Stress Testing and a Comparison of Alternative Methodologies for Scenario Generation," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 6(6), pages 1-7.
  8. Rosella Giacometti & Domenico Mignacca, 2010. "Using the Black and Litterman framework for stress test analysis in asset management," Journal of Asset Management, Palgrave Macmillan, vol. 11(4), pages 286-297, October.
  9. Brace, Allan & Lauer, Mark & Rado, Milo, 2007. "A stylised model for extreme shocks: four moments of the apocalypse," MPRA Paper 124773, University Library of Munich, Germany.
  10. Alexander, Carol & Sheedy, Elizabeth, 2008. "Developing a stress testing framework based on market risk models," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2220-2236, October.
  11. Dominique Guegan & Bertrand Hassani, 2014. "Stress Testing Engineering: the real risk measurement?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00951593, HAL.
  12. Bank for International Settlements, 2006. "Studies on credit risk concentration: an overview of the issues and a synopsis of the results from the Research Task Force project," BCBS Working Papers 15, Bank for International Settlements.
  13. Gonzalo Cortazar & Alejandro Bernales & Diether Beuermann, 2005. "Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading," Finance 0512030, University Library of Munich, Germany.
  14. Adil Rengim Cetingoz & Charles-Albert Lehalle, 2025. "Synthetic Data for Portfolios: A Throw of the Dice Will Never Abolish Chance," Papers 2501.03993, arXiv.org, revised Jul 2026.
  15. Matthias Meyer & Cathérine Grisar & Felix Kuhnert, 2011. "The impact of biases on simulation-based risk aggregation: modeling cognitive influences on risk assessment," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 22(1), pages 79-105, September.
  16. Giuseppe Montesi & Giovanni Papiro, 2018. "Bank Stress Testing: A Stochastic Simulation Framework to Assess Banks’ Financial Fragility †," Risks, MDPI, vol. 6(3), pages 1-54, August.
  17. Mingjun Yin & Hong Huang & Fucai Yu & Aizhi Wu & Yingchun Tao & Xiaoxiao Sun, 2025. "Study on Stress Testing and the Evaluation of Flood Resilience in Mountain Communities," Sustainability, MDPI, vol. 17(16), pages 1-21, August.
  18. Colin Ellis, 2017. "Scenario-based stress tests: are they painful enough?," Contemporary Economics, Vizja University, vol. 11(2), June.
  19. Mr. Martin Cihak, 2007. "Introduction to Applied Stress Testing," IMF Working Papers 2007/059, International Monetary Fund.
  20. Guoyin Li & Alfred Ma & Ting Pong, 2014. "Robust least square semidefinite programming with applications," Computational Optimization and Applications, Springer, vol. 58(2), pages 347-379, June.
  21. Vazquez, Francisco & Tabak, Benjamin M. & Souto, Marcos, 2012. "A macro stress test model of credit risk for the Brazilian banking sector," Journal of Financial Stability, Elsevier, vol. 8(2), pages 69-83.
  22. Basu, Sanjay, 2011. "Comparing simulation models for market risk stress testing," European Journal of Operational Research, Elsevier, vol. 213(1), pages 329-339, August.
  23. Martin Cihak, 2004. "Stress Testing: A Review of Key Concepts," Research and Policy Notes 2004/02, Czech National Bank, Research and Statistics Department.
  24. So, Mike K.P. & Wong, Jerry & Asai, Manabu, 2013. "Stress testing correlation matrices for risk management," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 310-322.
  25. Dominique Guegan & Bertrand Hassani, 2014. "Stress Testing Engineering: the real risk measurement?," Post-Print halshs-00951593, HAL.
  26. Shouyang Wang & Zhenquan Wang & Jing Zhang, 2003. "Stress testing analysis of the effects of Japanese yen's depreciation on Chinese exports," Applied Economics Letters, Taylor & Francis Journals, vol. 10(3), pages 185-190.
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