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Testing macroprudential stress tests : the risk of regulatory risk weights

Acharya, Viral V.; Engle, Robert F.; Pierret, Diane - In: Journal of monetary economics 65 (2014), pp. 36-53

Persistent link: https://www.econbiz.de/10010485270

Bank Use of Sovereign CDS in the Eurozone Crisis : Hedging and Risk Incentives

Acharya, Viral V. - 2019

protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not … building a complete picture and understanding fully the economic drivers of the bank-sovereign nexus of risk …

Persistent link: https://www.econbiz.de/10012898392

Bank Use of Sovereign CDS in the Eurozone Crisis : Hedging and Risk Incentives

Acharya, Viral V.; Gündüz, Yalin; Johnson, Timothy C. - 2021

Persistent link: https://www.econbiz.de/10013222131

Testing macroprudential stress tests : the risk of regulatory risk weights

Acharya, Viral V.; Engle, Robert F.; Pierret, Diane - 2014

Persistent link: https://www.econbiz.de/10010341259

Comment on: "Testing macroprudential stress tests : the risk of regulatory risk weights"

Lucas, Deborah J. - In: Journal of monetary economics 65 (2014), pp. 54-56

Persistent link: https://www.econbiz.de/10010485269

Testing macroprudential stress tests : the risk of regulatory risk weights

Acharya, Viral V.; Engle, Robert F.; Pierret, Diane - 2013

Persistent link: https://www.econbiz.de/10009741443

Testing macroprudential stress tests : the risk of regulatory risk weights

Acharya, Viral V.; Engle, Robert F.; Pierret, Diane - 2013

Persistent link: https://www.econbiz.de/10009745648

Testing Macroprudential Stress Tests : The Risk of Regulatory Risk Weights

Acharya, Viral V. - 2015

Macroprudential stress tests have been employed by regulators in the United States and Europe to assess and address the solvency condition of financial firms in adverse macroeconomic scenarios. Financial institutions are required to maintain a capital cushion against such events and stress tests...

Persistent link: https://www.econbiz.de/10013035758

Testing Macroprudential Stress Tests : The Risk of Regulatory Risk Weights

Acharya, Viral V. - 2013

Macroprudential stress tests have been employed by regulators in the United States and Europe to assess and address the solvency condition of financial firms in adverse macroeconomic scenarios. We provide a test of these stress tests by comparing their risk assessments and outcomes to those from...

Persistent link: https://www.econbiz.de/10012459694

Testing Macroprudential Stress Tests : The Risk of Regulatory Risk Weights

Acharya, Viral V. - 2013

Macroprudential stress tests have been employed by regulators in the United States and Europe to assess and address the solvency condition of financial firms in adverse macroeconomic scenarios. We provide a test of these stress tests by comparing their risk assessments and outcomes to those from...

Persistent link: https://www.econbiz.de/10013083085