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Macrofinancial stress testing : incorporating systemic risk perspectives into a stress framework
Oura, Hiroko; Schumacher, Liliana - In: Journal of risk management in financial institutions 7 (2014) 1, pp. 26-37
Persistent link: https://www.econbiz.de/10010259568
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Sovereign risk in macroprudential solvency stress testing
Jobst, Andreas A.; Oura, Hiroko - In: Stress testing : principles, concepts, and frameworks, (pp. 183-227). 2020
Persistent link: https://www.econbiz.de/10012373002
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Sovereign risk in macroprudential solvency stress testing
Jobst, Andreas A.; Oura, Hiroko - 2019
This paper explains the treatment of sovereign risk in macroprudential solvency stress testing, based on the experiences in the Financial Sector Assessment Program (FSAP). We discuss four essential steps in assessing the system-wide impact of sovereign risk: scope, loss estimation, shock...
Persistent link: https://www.econbiz.de/10012154975
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Sovereign Risk in Macroprudential Solvency Stress Testing
Jobst, Andreas (Andy) - 2020
This paper explains the treatment of sovereign risk in macroprudential solvency stress testing, based on the experiences in the Financial Sector Assessment Program (FSAP). We discuss four essential steps in assessing the system-wide impact of sovereign risk: scope, loss estimation, shock...
Persistent link: https://www.econbiz.de/10012843509