Macro-model-based stress testing of Basel II capital requirements
Year of publication: |
2008-09-02
|
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Authors: | Jokivuolle, Esa ; Virolainen, Kimmo ; Vähämaa, Oskari |
Institutions: | Suomen Pankki |
Subject: | Basel II | capital requirements | credit risk | loan losses | stress tests |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | The text is part of a series Research Discussion Papers The price is Available online only. Number 17/2008 27 pages |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; G21 - Banks; Other Depository Institutions; Mortgages ; G28 - Government Policy and Regulation ; G33 - Bankruptcy; Liquidation |
Source: |
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Macro-model-based stress testing of Basel II requirements
Jokivuolle, Esa, (2008)
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Macro stress testing with a macroeconomic credit risk model for Finland
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Macro stress testing with a macroeconomic credit risk model for Finland
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Macro-model-based stress testing of Basel II requirements
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Macro-model-based stress testing of Basel II capital requirements
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