Stress-Testing Macro Stress Testing: Does it Live Up to Expectations?
暂无分享,去创建一个
Claudio Borio | Mathias Drehmann | Kostas Tsatsaronis | Mathias Drehmann | C. Borio | Kostas Tsatsaronis
[1] Xisong Jin,et al. Banking systemic vulnerabilities: A tail-risk dynamic CIMDO approach , 2014 .
[2] Klaus Duellmann,et al. Crash Testing German Banks , 2012 .
[3] Mathias Drehmann,et al. Do Debt Service Costs Affect Macroeconomic and Financial Stability? , 2012 .
[4] Rodrigo Alfaro,et al. Macro Stress Tests and Crises: What Can We Learn? , 2012 .
[5] Mathias Drehmann,et al. Characterising the Financial Cycle: Don't Lose Sight of the Medium Term! , 2012 .
[6] David Greenlaw,et al. Stressed Out: Macroprudential Principles for Stress Testing , 2012 .
[7] Willem H. Buiter,et al. The Role of Central Banks in Financial Stability: How Has it Changed? , 2012 .
[8] Michael Woodford,et al. Interest and Prices , 2011 .
[9] M. YessicaBedoya,et al. This time is different: eight centuries of financial folly , 2011 .
[10] Liliana B. Schumacher,et al. Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information , 2011 .
[11] Mathias Drehmann,et al. Anchoring Countercyclical Capital Buffers: The Role of Credit Aggregates , 2011 .
[12] C. Borio. Implementing a Macroprudential Framework: Blending Boldness and Realism , 2011 .
[13] Darrell Duffie,et al. Systemic Risk Exposures: a 10-by-10-by-10 Approach , 2011 .
[14] A. Thakor,et al. Incentives to Innovate and Financial Crises , 2011 .
[15] M. Obstfeld,et al. Stories of the Twentieth Century for the Twenty-First , 2011 .
[16] Markus K. Brunnermeier,et al. Risk Topography , 2011, NBER Macroeconomics Annual.
[17] Moshe Kim,et al. Sustainable Financial Obligations and Crisis Cycles , 2011 .
[18] Albert Marcet,et al. Internal rationality, imperfect market knowledge and asset prices , 2011, J. Econ. Theory.
[19] Mathias Drehmann,et al. Systemic Importance: Some Simple Indicators , 2011 .
[20] L. Ong,et al. Into the Great Unknown: Stress Testing with Weak Data , 2010, SSRN Electronic Journal.
[21] M. Čihák,et al. Of Runes and Sagas: Perspectives on Liquidity Stress Testing Using an Iceland Example , 2010, SSRN Electronic Journal.
[22] Goetz von Peter,et al. Resolving the Financial Crisis: Are We Heeding the Lessons from the Nordics? , 2010 .
[23] Alex W. H. Chan. Merton, Robert C. , 2010 .
[24] Lawrence J. Christiano,et al. Financial Factors in Economic Fluctuations , 2010, SSRN Electronic Journal.
[25] Mathias Drehmann,et al. The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application , 2010 .
[26] A. Jobst,et al. New Directions in Financial Sector and Sovereign Risk Management , 2010 .
[27] J. End. Liquidity Stress-Tester: A Model for Stress-testing Banks’ Liquidity Risk , 2010 .
[28] Alan M. Taylor,et al. Credit Booms Gone Bust: Monetary Policy, Leverage Cycles and Financial Crises, 1870-2008 , 2009 .
[29] Mathias Drehmann,et al. Stress-testing the Banking System: Macroeconomic stress-testing banks: a survey of methodologies , 2009 .
[30] Michael R. King. Time to Buy or Just Buying Time? The Market Reaction to Bank Rescue Packages , 2009 .
[31] Markus K. Brunnermeier,et al. The fundamental principles of financial regulation , 2009 .
[32] Prasanna Gai,et al. Funding Liquidity Risk in a Quantitative Model of Systemic Stability , 2009 .
[33] L. Alessi,et al. 'Real Time' Early Warning Indicators for Costly Asset Price Boom/Bust Cycles: A Role for Global Liquidity , 2009, SSRN Electronic Journal.
[34] Mathias Drehmann,et al. Assessing the Risk of Banking Crises – Revisited , 2009 .
[35] Mario Quagliariello,et al. Stress Testing the Banking System: Methodologies and Applications , 2009 .
[36] Gary B. Gorton,et al. Information, Liquidity, and the (Ongoing) Panic of 2007 , 2009 .
[37] A. Foglia,et al. Stress Testing Credit Risk: A Survey of Authorities' Approaches , 2008 .
[38] Jón Dańıelsson. Blame the models , 2008 .
[39] Markus K. Brunnermeier. Deciphering the Liquidity and Credit Crunch 2007-08 , 2008 .
[40] Ingo Fender,et al. Credit Fundamentals, Ratings and Value-at-Risk: CDOs versus Corporate Exposures , 2008 .
[41] S. Dées,et al. Global Macro-Financial Shocks and Expected Default Frequencies in the Euro Area , 2008 .
[42] Martin Čihák,et al. Introduction to Applied Stress Testing , 2007, SSRN Electronic Journal.
[43] Ferre De Graeve,et al. Monetary Policy and Financial (In)Stability: An Integrated Micro-Macro Approach , 2007 .
[44] Miguel A. Segoviano Basurto,et al. Portfolio Credit Risk and Macroeconomic Shocks: Applications to Stress Testing Under Data-Restricted Environments , 2007, SSRN Electronic Journal.
[45] C. Anderson‐Cook. Quantitative Risk Management: Concepts, Techniques, and Tools , 2006 .
[46] R. C. Merton,et al. A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy , 2006 .
[47] Takeo Hoshi,et al. Zombie Lending and Depressed Restructuring in Japan , 2006 .
[48] Allen B. Frankel. Prime or Not so Prime? An Exploration of US Housing Finance in the New Century , 2006 .
[49] P. Embrechts,et al. Quantitative Risk Management: Concepts, Techniques, and Tools , 2005 .
[50] A. Scott. INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY , 2005, Macroeconomic Dynamics.
[51] T. Jacobson,et al. Exploring Interactions between Real Activity and the Financial Stance , 2005 .
[52] Ò. Jordà,et al. Estimation and Inference of Impulse Responses by Local Projections , 2005 .
[53] C. Borio. Market Distress and Vanishing Liquidity: Anatomy and Policy Options , 2004 .
[54] A. Persaud. Liquidity Black Holes: Understanding, Quantifying and Managing Financial Liquidity Risk , 2003 .
[55] Til Schuermann,et al. Macroeconomic Dynamics and Credit Risk: A Global Perspective , 2003, SSRN Electronic Journal.
[56] Helmut Elsinger,et al. Risk Assessment for Banking Systems , 2003, Manag. Sci..
[57] Matthew T. Jones,et al. Stress Testing of Financial Systems: An Overview of Issues, Methodologies, and Fsap Experiences , 2001, SSRN Electronic Journal.
[58] Céline Gauthier,et al. Understanding Systemic Risk in the Banking Sector: A MacroFinancial Risk Assessment Framework , 2012 .
[59] Toni Gravelle,et al. What Matters in Determining Capital Surcharges for Systemically Important Financial Institutions , 2011 .
[60] S. Kapadia,et al. Preliminary and incomplete draft: not for quotation Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks , 2009 .
[61] K. Stiroh,et al. Federal Reserve Bank of New York Staff Reports Macroprudential Supervision of Financial Institutions : Lessons from the SCAP , 2009 .
[62] Stefan W. Schmitz,et al. Stress Tests for the Austrian FSAP Update 2007: Methodology, Scenarios and Results , 2008 .
[63] David Tessier,et al. Non-Linearities, Model Uncertainty, and Macro Stress Testing , 2008 .
[64] Césaire Meh,et al. The Role of Bank Capital in the Propagation of Shocks the Role of Bank Capital in the Propagation of Shocks Acknowledgements We Thank , 2008 .
[65] Mathias Drehmann,et al. Non-Linearities and Stress Testing , 2006 .
[66] Shubhasis Dey,et al. Stress Testing the Corporate Loans Portfolio of the Canadian Banking Sector , 2006 .
[67] C. Borio,et al. Assessing the risk of banking crises , 2002 .
[68] journal homepage: www.elsevier.com/locate/jedc , 2022 .
[69] A. Marcet,et al. Imes Discussion Paper Series Institute for Monetary and Economic Studies Bank of Japan 2-1-1 Nihonbashi-hongokucho Booms and Busts in Asset Prices , 2022 .