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Stress tests as a systemic risk assessment tool

Demekas, Dimitri G. - In: Journal of risk management in financial institutions 10 (2016/2017) 1, pp. 36-44

Persistent link: https://www.econbiz.de/10011670638

Iceland : Financial Sector Assessment Program-Technical Note on Stress Testing and Systemic Risk Analysis

International Monetary Fund / Monetary and Capital … - 2023

vulnerability. The scenario-based bank solvency stress test confirmed the sector's resilience to severe but plausible macro …' resilience to severe yet plausible adverse shocks. Although the adverse scenario produced a significant impact on bank capital … ratios, no bank saw its capital ratios falling below the hurdle rates, owing to the high initial capital positions and …

Persistent link: https://www.econbiz.de/10015059202

DiStress : a distributional approach to bank solvency simulations

Kerry, Will - In: Journal of risk management in financial institutions 13 (2019/2020) 4, pp. 338-348

Persistent link: https://www.econbiz.de/10012504416

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

Making sense of the EU-wide stress test : comparing SRISK and the ECB/EBA measures of bank vulnerability

Homar, Timotej; Kick, Heinrich; Salleo, Carmelo - In: Preparing for the next financial crisis : policies, …, (pp. 108-138). 2017

Persistent link: https://www.econbiz.de/10011802620

Chapter 6. Models of Financial Stability and Their Application in Stress Tests

Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, … - In: Handbook of computational economics : Volume 4: …, (pp. 329-391). 2018

We review heterogeneous agent 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/10014024350