M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital … - built upon a rich, non-linear dependence structure for interconnected bank portfolios. Incorporating numerous sector … systemic impact. A test run using a sample of 12 systemically important German banks provides measures for systemic credit risk …

In this study, we investigate the tail dependency between bank stocks in China and 35 common risk factors. We measure … from Chinese bank stocks. The univariate conditional tail risk is considerably higher than the unconditional tail risk. The … single risk factor. In general, there is a stronger cross-market tail linkage between emerging market risk factors and bank …

The latest financial crisis has exposed substantial weaknesses in the bank risk models used by national regulators as … the main challenges for regulators in terms of bank risk measurement. The study shows that substantial challenges for … banking (i.e., to model risk from a systemic point of view and not only from the perspective of an individual bank). As the …