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Stress-testing US bank holding companies : a dynamic panel quantile regression approach

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Stress-Testing U.S. Bank Holding Companies : A Dynamic Panel Quantile Regression Approach

Covas, Francisco - 2013

We propose an econometric framework for estimating capital shortfalls of bank holding companies (BHCs) under pre …-specified macroeconomic scenarios. To capture the nonlinear dynamics of bank losses and revenues during periods of financial stress, we use a …

Persistent link: https://www.econbiz.de/10013073639