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~institution:"C.E.P.R. Discussion Papers"
~institution:"European Central Bank"
~subject:"credit default swap"
~subject:"risk-weighted assets"
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credit default swap
risk-weighted assets
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C.E.P.R. Discussion Papers
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Nationalekonomiska Institutionen, Ekonomihögskolan
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Disentangling the bond-CDS nexus: a
stress
test
model of the CDS market
Vuillemey, Guillaume
;
Peltonen, Tuomas A.
-
European Central Bank
-
2013
This paper presents a
stress
test
model for the CDS market, with a focus on the interplay between banks’ bond and CDS …
Persistent link: https://www.econbiz.de/10010709534
Saved in:
2
Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights
Acharya, Viral V
;
Engle III, Robert F
;
Pierret, Diane
-
C.E.P.R. Discussion Papers
-
2014
stress-test
losses are taken into account. In particular, the continued reliance on regulatory risk weights in stress tests …
Persistent link: https://www.econbiz.de/10011083787
Saved in:
3
Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights
Acharya, Viral V
;
Engle III, Robert F
;
Pierret, Diane
-
C.E.P.R. Discussion Papers
-
2013
capital once
stress-test
losses are taken into account. In particular, the continued reliance on regulatory risk weights in …
Persistent link: https://www.econbiz.de/10011083469
Saved in:
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