Covas, Francisco B.; Rump, Ben; Zakrajsek, Egon - Federal Reserve Board (Board of Governors of the … - 2013
We propose an econometric framework for estimating capital shortfalls of bank holding companies (BHCs) under pre-specified macroeconomic scenarios. To capture the nonlinear dynamics of bank losses and revenues during periods of financial stress, we use a fixed effects quantile autoregressive...