Backtesting macroprudential stress tests
Year of publication: |
2022
|
---|---|
Authors: | Ramadiah, Amanah ; Fricke, Daniel ; Caccioli, Fabio |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 137.2022, p. 1-33
|
Subject: | Backtesting | Common asset holdings | Fire sales | Systemic risk | Systemrisiko | Finanzkrise | Financial crisis | Statistischer Test | Statistical test | Finanzmarktaufsicht | Financial supervision | Bankrisiko | Bank risk | Stresstest | Stress test | Schätzung | Estimation | Bankenaufsicht | Banking supervision | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Bankenkrise | Banking crisis |
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