We review heterogeneous agent-based models of financial stability and their application in stress tests. In contrast to … liquidity. We give an overview of applications to stress testing, including both microprudential and macroprudential stress … banks …

Increases in firm default risk raise the default probability of banks while decreasing output and inflation in US data …. To rationalize the empirical evidence, we analyse firm risk shocks in a New Keynesian model where entrepreneurs and banks … banks' balance sheets; banks respond by selling assets and reducing credit provision. A highly leveraged banking sector …

develops a methodology to detect problems at the individual bank level in an effort to identify those firms with financial … facilitate bank monitoring tasks, as well as some disaggregated subcomponents that are intended to display the relative …

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 …

How does bank distress impact their customers' probability of default and trade credit availability? We address this … question by looking at a unique sample of German firms from 2000 to 2011. We follow their firm-bank relationships through times … of distress and crisis, featuring the different transmission of bank distress shocks into already weakened firm balance …

How does bank distress impact their customers' probability of default and trade credit availability? We address this … question by looking at a unique sample of German firms from 2000 to 2011. We follow their firm-bank relationships through times … of distress and crisis, featuring the different transmission of bank distress shocks into already weakened firm balance …