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Stress testing the resilience of financial networks
Amini, Hamed; Cont, Rama; Minca, Andreea - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10009562144
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Measuring and stress-testing market-implied bank capital
Indergand, Martin; Jondeau, Eric; Fuster, Andreas - 2022
We propose a methodology for measuring the market-implied capital of banks by subtracting from the market value of equity (market capitalization) a credit-spread-based correction for the value of shareholders' default option. We show that without such a correction, the estimated impact of a...
Persistent link: https://www.econbiz.de/10013168743
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Measuring and stress-testing market-implied bank capital
Indergand, Martin; Jondeau, Eric; Fuster, Andreas - 2022
Persistent link: https://www.econbiz.de/10012815680
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The financial stability aspects of the EU-wide stress test
Ebner, André - In: Journal of financial regulation 4 (2018) 2, pp. 326-336
Persistent link: https://www.econbiz.de/10012160933
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Banking system stress testing and COVID-19 : a first summary appraisal
Henry, Jérôme - In: Journal of risk management in financial institutions 14 (2020/2021) 1, pp. 7-24
Persistent link: https://www.econbiz.de/10012504462
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The vulnerability trends of the banking sector of Bangladesh : a stress testing approach
Sarker, Niluthpaul; Nahar, Shamsun - In: International journal of economics and financial issues … 8 (2018) 3, pp. 75-85
Persistent link: https://www.econbiz.de/10011978935
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Macro stress testing of credit risk focused on the tails
Schechtman, Ricardo; Gaglianone, Wagner Piazza - 2011
Persistent link: https://www.econbiz.de/10009009009
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Stress-testing macro stress testing : does it live up to expectations?
Borio, Claudio E. V.; Drehmann, Mathias; Tsatsaronis, Kostas - In: Journal of financial stability 12 (2014), pp. 3-15
Persistent link: https://www.econbiz.de/10011285082