This paper proposes and demonstrates a methodology for modeling correlated systemic solvency and liquidity risks for a banking system. Using a forward looking simulation of many risk factors applied to detailed balance sheets for a 10 bank stylized United States banking system, we analyze...

Macroeconomic risk assessments play an important role in the forecasts of manyinstitutions. However, to the best of our knowledge their performance has notbeen investigated yet. In this work, we study the Bank of England’s risk forecastsfor inflation. We find that these forecasts do not...

In this papaer, we put DSGE forecasts in competition with factor forecasts. We focus on these two models since they represent nicely the two opposing forecasting philosophies. The DSGE model on the one hand has a strong theoretical economic background; the factor model on the other hand is mainly...