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Foundations of system-wide financial stress testing with heterogeneous institutions

Farmer, J. Doyne; Kleinnijenhuis, Alissa M; … - 2020

Persistent link: https://www.econbiz.de/10012534314

An agent-based model for financial vulnerability

Bookstaber, Richard M.; Paddrik, Mark; Tivnan, Brian - In: Journal of economic interaction and coordination : JEIC 13 (2018) 2, pp. 433-466

Persistent link: https://www.econbiz.de/10011962259

CoMap: mapping contagion in the euro area banking sector

Covi, Giovanni; Gorpe, Mehmet Ziya; Kok Sørensen, … - In: Journal of financial stability 53 (2021), pp. 1-28

Persistent link: https://www.econbiz.de/10012793051

Integrating stress tests within the Basel III capital framework : a macroprudentially coherent approach

Bologna, Pierluigi; Segura, Anatoli - In: Journal of financial regulation 3 (2017) 2, pp. 159-186

Persistent link: https://www.econbiz.de/10011739077

Supervisory stress testing for central counterparties : a macroprudential, two-tier approach

Anderson, Edward; Cerezetti, Fernando; Manning, Mark - In: The journal of financial market infrastructures 8 (2019) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10012373171

Chapter 6. Models of Financial Stability and Their Application in Stress Tests

Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, … - In: Handbook of computational economics : Volume 4: …, (pp. 329-391). 2018

We review heterogeneous agent models of financial stability and their application in stress tests. In contrast to the mainstream approach, which relies heavily on the rational expectations assumption and focuses on situations where it is possible to compute an equilibrium, this approach...

Persistent link: https://www.econbiz.de/10014024350

Dynamical macroprudential stress testing using network theory

Levy Carciente, Sary; Kenett, Dror Y.; Avakian, Adam; … - In: Journal of banking & finance 59 (2015), pp. 164-181

Persistent link: https://www.econbiz.de/10011544421

A new macro stress testing approach for financial realignment in the Eurozone

Apergis, Emmanuel; Apergis, Iraklis; Apergēs, Nikolaos - In: Journal of international financial markets, … 61 (2019), pp. 52-80

Persistent link: https://www.econbiz.de/10012128279

Many a little makes a mickle : stress testing small and medium-sized German banks

Busch, Ramona; Koziol, Philipp; Mitrovic, Marc - In: The quarterly review of economics and finance : journal … 68 (2018), pp. 237-253

Persistent link: https://www.econbiz.de/10012034542

Systemic risk measures and macroprudential stress tests : an assessment over the 2014 EBA exercise

Pederzoli, Chiara; Torricelli, Costanza - In: Annals of finance 13 (2017) 3, pp. 237-251

Persistent link: https://www.econbiz.de/10011945440