Sveda, Josef; Panos, Jiri; Siuda, Vojtech - 2024
easy to replicate and suitable for various applications, including stress testing and calibration of macroprudential tools … portfolios and thus aims to provide more accurate estimations than the common portfolio level approaches used in top-down stress … testing frameworks. This should reduce the likelihood of significant misestimation of riskweighted assets, which can lead to …