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The value of information : the impact of European Union bank stress tests on stock markets
Borges, Maria Rosa; Mendes, José Manuel Zorro; … - In: International advances in economic research : IAER ; an … 25 (2019) 4, pp. 429-444
Persistent link: https://www.econbiz.de/10012307223
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Measuring the performance of bank loans under Basel II/III and IFRS 9/CECL
Engelmann, Bernd; Pham Ha - In: Risks : open access journal 8 (2020) 3/93, pp. 1-21
stress tests, bank balance sheet projections, capital management, or evaluating the impact of securitizing parts of a bank …
Persistent link: https://www.econbiz.de/10012293293
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Do stress tests affect bank liquidity creation?
Nguyen, Thach Vu Hong; Ahmed, Shamim; Chevapatrakul, … - In: The journal of corporate finance : contracting, … 64 (2020), pp. 1-26
Persistent link: https://www.econbiz.de/10012295739
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Implications of model uncertainty for bank stress testing
Groß, Marco; Población García, Javier - In: Journal of financial services research : JFSR 55 (2019) 1, pp. 31-58
Persistent link: https://www.econbiz.de/10012301180
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Bank stress testing under different balance sheet assumptions
Busch, Ramona; Drescher, Christian; Memmel, Christoph - 2017
explained better by a bank's current balance sheet composition, the longer the forecast horizon. The opposite holds for banks …
Persistent link: https://www.econbiz.de/10011632218
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Determinants of capital adequacy ratios under Basel III : stress testing and sensitivity analysis on Egyptian banks
Eldomiaty, Tarek Ibrahim; Eldin, Ashraf Bahie; Azzam, Islam - In: The international journal of finance 27 (2015) 3, pp. 380-414
Persistent link: https://www.econbiz.de/10011691309
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A model combination approach to developing robust models for credit risk stress testing : an application to a stressed economy
Papadopoulos, Georgios - In: The journal of risk model validation 11 (2017) 1, pp. 49-72
Persistent link: https://www.econbiz.de/10011671179
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A new model for bank loan loss given default by leveraging time to recovery
Chen, Heng Z. - In: The journal of credit risk : published quarterly by … 14 (2018) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10011962384
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From sovereigns to banks : evidence on cross-border contagion
Kalbaska, Alesia; Mateus, Cesario - In: Journal of banking regulation 20 (2019) 1, pp. 86-103
Persistent link: https://www.econbiz.de/10012011484
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Stress testing the German mortgage market
Barasinska, Nataliya; Haenle, Philipp; Koban, Anne; … - 2019
then use the model to run a top-down stress test and simulate losses on the individual bank level for the years from 2018 …
Persistent link: https://www.econbiz.de/10012012997