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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
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Structural systemic risk : evolution and main drivers
Azevedo, N.; Oliveira, Vitor - In: The journal of network theory in finance 5 (2019) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10012489241
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Macroprudential stress test of the euro area banking system
Budnik-Gałązka, Katarzyna; Mozzanica, Mirco Balatti; … - 2019
acknowledging a broad set of interactions and interdependencies between banks, other market participants, and the real economy. Our …
Persistent link: https://www.econbiz.de/10012033284
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Systemrisiko und Wirtschaftsordnung im Bankensektor : zum Ende von Too Big To Fail
Mendelsohn, Juliane - 2018 - 1. Auflage
Persistent link: https://www.econbiz.de/10011954325
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Macroprudential Stress Test of the Euro Area Banking System
Budnik, Katarzyna Barbara; Balatti, Mirco; Covi, Giovanni; … - 2021
acknowledging a broad set of interactions and interdependencies between banks, other market participants, and the real economy. Our …
Persistent link: https://www.econbiz.de/10013315366
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Systemic Risk in the European Banking Sector
Borri, Nicola - 2012
variables are very weak predictors of banks' contribution to systemic risk, if compared to market based variables. Accounting … rules provide enough degrees of freedom to make balance sheet less informative than market prices. As a result, measures of … risk based on higher frequency market prices are more likely to anticipate systemic risk …
Persistent link: https://www.econbiz.de/10013103612
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Network tail risk estimation in the European banking system
Torri, Gabriele; Giacometti, Rosella; Tichý, Tomáš - In: Journal of economic dynamics & control 127 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10012668977
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Measuring systemic stress in European banking systems
Gibson, Heather D.; Hall, Stephen G.; Tavlas, George S. - 2016
Persistent link: https://www.econbiz.de/10011567515
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Measuring systemic vulnerability in European banking systems
Gibson, Heather D.; Hall, Stephen G.; Tavlas, George S. - In: Journal of financial stability 36 (2018), pp. 279-292
Persistent link: https://www.econbiz.de/10012156914
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Models of financial stability and their application in stress tests
Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, … - 2017
We review heterogeneous agent-based 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/10011906282