conditions, and the regulatory environment. We use this model to simulate bank credit losses for stress-testing purposes and to … that can be made to capture country-specific institutional features. The model uses bank portfolio data broken down by risk … economic cycles. This feature facilitates a timely assessment of banks' loss-absorbing capacity and the buildup of systemic …

This paper studies episodes in which aggregate bank credit contracts alongside expanding economic activity …

paper focuses on a number of issues suggested by international organizations for countries and bank supervisors to consider … for banks and define a related group of borrowers in line with recommended international standards. The major differences …

This paper presents a novel approach to investigate and model the network of euro area banks' large exposures within … with bank-level data to study the contagion potential of an exogenous shock via credit and funding risks. We find that …-linear function of the combination of network structures and bank-specific characteristics …

macro-financial feedback loops can significantly affect macroeconomic outcomes and bank-specific stress tests results. The …In the presence of adverse macroeconomic shocks, simultaneous capital losses in multiple banks can prompt them to … contract their balance sheets. These bank responses generate externalities that propagate in the form of macro …

provides guidance on how non-Basel Committee member countries could incorporate banks' capital and liquidity standards into …

This paper presents an integrated framework for assessing systemic risk. The framework models banks’ capital asset … comovement among banks in the system. The main contribution of this paper is to advance a simple framework to integrate systemic … uses analytical techniques—similar to those applied in the insurance industry - to estimate banks’ credit portfolio loss …

We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects … (SE losses) into macroprudential stress testing. SE losses are measured using a reduced-form model to value financial … entity assets, conditional on macroeconomic stress and the distress of other entities in the system. This valuation is made …