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An overview of regulatory stress-testing and steps to improve it
Pritsker, Matthew - In: Global finance journal 39 (2019), pp. 39-43
Persistent link: https://www.econbiz.de/10012257028
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The hidden dangers of historical simulation
Pritsker, Matthew - In: Journal of Banking & Finance 30 (2006) 2, pp. 561-582
Persistent link: https://www.econbiz.de/10005201690
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Knightian uncertainty and interbank lending
Pritsker, Matthew - In: Journal of Financial Intermediation 22 (2013) 1, pp. 85-105
This paper theoretically studies the effects of Knightian Uncertainty in interbank markets when the source of the Knightian Uncertainty is incomplete information on banks’ risk exposures. The main findings in the paper are: (1) When interbank loans are arranged in anonymous brokered, instead...
Persistent link: https://www.econbiz.de/10010608437
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The role of heterogeneity in scenario design for financial stability stress testing
Flood, Mark D.; Jones, Jonathan; Pritsker, Matthew; … - In: Handbook of financial stress testing, (pp. 98-127). 2022
Persistent link: https://www.econbiz.de/10013343556
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Evaluating Value at Risk Methodologies: Accuracy versus Computational Time
Pritsker, Matthew - In: Journal of Financial Services Research 12 (1997) 2, pp. 201-242
Persistent link: https://www.econbiz.de/10005715847