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The accuracy of alternative supervisory methodologies for the stress testing of credit risk
Jacobs, Michael <Jr.> - In: International journal of financial engineering and risk … 3 (2020) 3, pp. 254-296
Persistent link: https://www.econbiz.de/10012253521
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The usefulness of stress testing exercises for assessing the soundness of the banking system
Kalfaoglou, Faidon - In: Economic bulletin (2011) 35, pp. 25-46
Persistent link: https://www.econbiz.de/10009714222
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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
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Stress test impact and bank risk profile : evidence from macro stress testing in Europe
Gambetta, Nicolás; García-Benau, María Antonia; … - In: International review of economics & finance : IREF 61 (2019), pp. 347-354
Persistent link: https://www.econbiz.de/10012205434
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From BASEL III to BASEL IV and beyond : expected shortfall and expectile risk measures
Zaevski, Tsvetelin S.; Nedeltchev, Dragomir C. - In: International review of financial analysis 87 (2023), pp. 1-12
Persistent link: https://www.econbiz.de/10014460567
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A new approach to optimal capital allocation for RORAC maximization in banks
Kang, Woo-Young; Poshakwale, Sunil S. - In: Journal of banking & finance 106 (2019), pp. 153-165
Persistent link: https://www.econbiz.de/10012224261
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Risk committee complexity and liquidity risk in the European banking industry
Galletta, Simona; Mazzù, Sebastiano; Scannella, Enzo - In: Journal of economic behavior & organization : JEBO 192 (2021), pp. 691-703
Persistent link: https://www.econbiz.de/10013188643
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Liquidity risk and credit risk : a relationship based on the interaction between liquid asset ratio, non-performing loans ratio and systemic liquidity risk
Malandrakis, Ioannis K. - In: International journal of financial engineering and risk … 1 (2014) 4, pp. 375-400
Persistent link: https://www.econbiz.de/10010476907
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The financial stability aspects of the EU-wide stress test
Ebner, André - In: Journal of financial regulation 4 (2018) 2, pp. 326-336
Persistent link: https://www.econbiz.de/10012160933
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Stress testing and model validation : application of the Bayesian approach to a credit risk portfolio
Jacobs, Michael <Jr.>; Karagozoglu, Ahmet K.; … - In: The journal of risk model validation 9 (2015) 3, pp. 41-70
Persistent link: https://www.econbiz.de/10011410323