We present a macroprudential stress testing framework. While traditional stress testing assesses the level of banks' capital adequacy relative to regulatory requirements through a hypothetical crisis, macroprudential stress testing assesses macroeconomic consequences of the impact of banks'...

We present a macroprudential stress testing framework. While traditional stress testing assesses the level of banks' capital adequacy relative to regulatory requirements through a hypothetical crisis, macroprudential stress testing assesses macroeconomic consequences of the impact of banks'...

Notatet omhandler ulike metoder for estimering av volatilitetsindikatorer for finansielle aktiva. Det gis en presentasjon av de enkleste statistiske volatilitetsindikatorene basert på avkastningsserier for finansielle priser, samt metoder for vekting av data og skalering av indikatorer. Mer...