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This paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and to public debt. Stress testing can be seen as a first order test of the level of potential negative outcomes in response to tail shocks. However, the results of stress testing can be...
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The COVID-19 pandemic could result in large government interventions in the banking industry. To shed light on the …
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banking sector into an otherwise standard macroeconomic structural vector autoregressive model. It shows that accounting for …
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