An MVAR Framework to Capture Extreme Events in Macroprudential Stress Tests
Year of publication: |
2011-10
|
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Authors: | Guarda, Paolo ; Rouabah, Abdelaziz ; Theal, John |
Institutions: | Central Bank of Luxembourg |
Subject: | financial stability | stress testing | MVAR | mixture of normals | VAR | tier 1 capital ratio | counterparty risk | Luxembourg banking sector |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 63 37 pages |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; E44 - Financial Markets and the Macroeconomy ; G01 - Financial Crises ; G21 - Banks; Other Depository Institutions; Mortgages |
Source: |
-
An MVAR framework to capture extreme events in macro-prudential stress tests
Guarda, Paolo, (2012)
-
Stress testing: The impact of shocks on the capital needs of the Luxembourg banking sector
Rouabah, Abdelaziz, (2010)
-
An MVAR framework to capture extreme events in macro-prudential stress tests
Guarda, Paolo, (2012)
- More ...
-
Stress testing: The impact of shocks on the capital needs of the Luxembourg banking sector
Rouabah, Abdelaziz, (2010)
-
Estimating the natural interest rate for the euro area and Luxembourg
Wintr, Ladislav, (2005)
-
Banking output & price indicators from quarterly reporting data
Rouabah, Abdelaziz, (2007)
- More ...