credit and interest rate risk, the way it measures bank capital, and the way it creates countercyclical capital buffers …

policy. We focus on microprudential stress testing to assess financial stability, the resilience and solvency of one … important private bank in Algeria in the face of liquidity risk. Our empirical analysis adopts a bottom-up approach based on an … accounting method. It studies the relationship between the bank solvency ratio (ratio cook) and bank portfolios, such as loans to …

This paper provides a conceptual overview of key aspects of the design and implementation of solvency stress testing of … principles and their impact on various risk drivers affect the capital assessment of asset-oriented financial intermediation … under stress. The formal specification of these risk factors helps operationalize and integrate the stress testing of …

probabilities, on reduced-form credit risk stress testing. This type of uncertainty is omnipresent in most macroeconomic stress … testing applications due to short time series for banks' portfolio risk parameters and highly collinear macroeconomic … distributions and implied capital shortfalls by conducting a full-edged top-down credit risk stress test for over 1,500 German banks …