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Modeling credit risk through the Austrian business cycle : an update of the OeNB model

Boss, Michael; Fenz, Gerhard; Pann, Johannes; Puhr, Claus; … - In: Finanzmarktstabilitätsbericht 17 (2009), pp. 92-108

Persistent link: https://www.econbiz.de/10003860876

Stress Tests for the Austrian FSAP Update 2007: Methodology, Scenarios and Results

Ubl, Eva; Schneider, Martin; Fenz, Gerhard; Krenn, Gerald; … - Oesterreichische Nationalbank

This paper presents the methodology, scenarios and results of the stress tests conducted for the update of Austriaâ€™s Financial Sector Assessment Program (FSAP) in 2007. The focus of the paper lies in particular on the following two macroeconomic stress scenarios: (a) a regional shock in...

Persistent link: https://www.econbiz.de/10010727841

Modeling credit risk through the Austrian business cycle : an update of the OeNB model

Boss, Michael; Fenz, Gerhard; Pann, Johannes; Puhr, Claus; … - In: Finanzmarktstabilitätsbericht 17 (2009), pp. 92-108

Persistent link: https://www.econbiz.de/10009954223

Modeling Credit Risk through the Austrian Business Cycle: An Update of the OeNB Model

Boss, Michael; Fenz, Martin; Pann, Johannes; Puhr, Claus; … - In: Financial Stability Report (2009) 17, pp. 85-101

In quantitative financial stability analysis, the link between the macroeconomic environment and credit risk is of particular importance when assessing the risk hidden in loan portfolios. Macroeconomic stress testing, in particular, which aims at measuring the impact of an economic crisis on...

Persistent link: https://www.econbiz.de/10005061773

ARNIE in Action: The 2013 FSAP Stress Tests for the Austrian Banking System

Feldkircher, Martin; Fenz, Gerhard; Ferstl, Robert; … - In: Financial Stability Report (2013) 26, pp. 100-118

Persistent link: https://www.econbiz.de/10010781609

Stress Tests for the Austrian FSAP Update 2007: Methodology, Scenarios and Results

Boss, Michael; Fenz, Gerhard; Krenn, Gerald; Pann, Johannes - In: Financial Stability Report (2008) 15, pp. 68-92

This paper presents the methodology, scenarios and results of the stress tests conducted for the update of Austria’s Financial Sector Assessment Program (FSAP) in 2007. The focus of the paper lies in particular on the following two macroeconomic stress scenarios: (a) a regional shock in...

Persistent link: https://www.econbiz.de/10005627513

Next Generation System-Wide Liquidity Stress Testing

Puhr, Claus - 2003

A framework to run system-wide, balance sheet data-based liquidity stress tests is presented. The liquidity framework includes three elements: (a) a module to simulate the impact of bank run scenarios; (b) a module to assess risks arising from maturity transformation and rollover risks,...