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Stresstests für das bankbetriebliche Liquiditätsrisiko : Analyse im Licht von Basel III und der europäischen Bankenunion

Thomas, Christian - 2015

Mindestanforderungen an das Risikomanagement. Auf dieser Basis gibt er Handlungsempfehlungen für mittelständische Kreditinstitute. Der …

Persistent link: https://www.econbiz.de/10014020235

Stresstests für das bankbetriebliche Liquiditätsrisiko : Analyse im Licht von Basel III und der europäischen Bankenunion

Thomas, Christian - 2015 - Aufl. 2015

Persistent link: https://www.econbiz.de/10011305789

The ECB's 2019 liquidity stress test : An event study evaluating the impact on owners and creditors

Börner, Christoph J.; Krettek, Jonas - In: Credit and capital markets : Kredit und Kapital 54 (2021) 2, pp. 223-263

Persistent link: https://www.econbiz.de/10012626515

Supervisory stress testing for central counterparties : a macroprudential, two-tier approach

Anderson, Edward; Cerezetti, Fernando; Manning, Mark - In: The journal of financial market infrastructures 8 (2019) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10012373171

Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio

Jacobs, Michael <Jr.> - In: The journal of risk model validation 16 (2022) 3, pp. 73-111

Persistent link: https://www.econbiz.de/10014540601

DiStress : a distributional approach to bank solvency simulations

Kerry, Will - In: Journal of risk management in financial institutions 13 (2019/2020) 4, pp. 338-348

Persistent link: https://www.econbiz.de/10012504416

Measuring counterparty risk in FMIs

Laine, Tatu; Korpinen, Kasperi - 2021

This paper extends traditional payment system simulation analysis to counterparty liquidity risk exposures. The used … intraday liquidity management" (BIS, 2013). This stress scenario is simulated for participants of the Finnish TARGET2 component … with the new BoF-PSS3 simulator. Two liquidity deterioration indicators are introduced to quantify counterparty liquidity …

Persistent link: https://www.econbiz.de/10012703114

Risk contagion and bank stability : the role of credit risk and liquidity risk

Ding, Lei; Zhuang, Yaming; Wang, Hu - In: The journal of risk model validation 16 (2022) 4, pp. 113-130

Persistent link: https://www.econbiz.de/10014239855

M-PRESS-CreditRisk : a holistic micro- and macroprudential approach to capital requirements

Tente, Natalia; Westernhagen, Natalja von; Slopek, Ulf … - 2017

M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and macroprudential buffers in a unified, coherent framework....

Persistent link: https://www.econbiz.de/10011663208

Systemic risk analysis and SIFI detection: Mechanisms and measurement

Riccetti, Luca - In: Journal of risk management in financial institutions 15 (2021/2022) 3, pp. 245-259

Persistent link: https://www.econbiz.de/10013391976