Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, … - 2020
We provide a simple and tractable accounting-based stress-testing framework to assess loss dynamics in the banking … sector, in a context of leverage targeting. Contagion can occur through direct interbank exposures, and indirect exposures … contagion is negligible in our analysis. Our findings underscore the importance of accurately estimating the price effects of …
