Breuer, Thomas; Summer, Martin - In: Financial Stability Report (2013) 25, pp. 74-86
This paper reviews recent advances made in improving the robustness of stress-testing models against potential …-model misspecification. In addition, we address an important open problem of stress tests as they are carried out today: the endogeneity of … financial risks. Traditional stress-testing frameworks model a single-person decision problem in the face of an exogenous source …