the bank’s default, thus detecting the set of assumptions that defines the reverse stress test scenario. This article …

heavy-tailed and insufficient loss data. To address these issues, we propose a loss scaling method to combine a bank …'s internal loss data with external loss data of other banks. Using supervisory operational loss data from large U.S. bank holding … companies, we find that the severity of tail losses is related to bank size, while smaller losses are not. Based on this finding …

covariates. We quantify the effect of model uncertainty on supervisory and bank stress tests in terms of predicted portfolio loss …

cause a bank to cross the frontier between survival and default. Afterward, the scenario which is most probable has to be …

this approach to identify the balance sheet and income statement factors that are key in explaining bank heterogeneity in … capitalization measures at the bank-by-bank and industry-wide levels. Our results suggest that while capitalization of the U …

this approach to identify the balance sheet and income statement factors that are key in explaining bank heterogeneity in … capitalization measures at the bank-by-bank and industry-wide levels. Our results suggest that while capitalization of the U …

In the last decade, stress tests have become indispensable in bank risk management which has led to significantly …