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An overview of regulatory stress-testing and steps to improve it

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  • Pritsker, Matt

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  • Pritsker, Matt, 2019. "An overview of regulatory stress-testing and steps to improve it," Global Finance Journal, Elsevier, vol. 39(C), pages 39-43.
    • Handle: RePEc:eee:glofin:v:39:y:2019:i:c:p:39-43
    DOI: 10.1016/j.gfj.2018.01.014
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    References listed on IDEAS

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    1. Breuer, Thomas & Csiszár, Imre, 2013. "Systematic stress tests with entropic plausibility constraints," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1552-1559.
    2. Fernando Duarte & Thomas M. Eisenbach, 2021. "Fire‐Sale Spillovers and Systemic Risk," Journal of Finance, American Finance Association, vol. 76(3), pages 1251-1294, June.
    3. Andrew McKenna & Rhys Bidder, 2014. "Robust Stress Testing," 2014 Meeting Papers 853, Society for Economic Dynamics.
    4. Mark J. Flannery, 2014. "Maintaining Adequate Bank Capital," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(s1), pages 157-180, February.
    5. Luca Guerrieri & Michelle Welch, 2012. "Can macro variables used in stress testing forecast the performance of banks?," Finance and Economics Discussion Series 2012-49, Board of Governors of the Federal Reserve System (U.S.).
    6. Pritsker, Matthew, 2006. "The hidden dangers of historical simulation," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 561-582, February.
    7. Mark D. Flood & George G. Korenko, 2015. "Systematic scenario selection: stress testing and the nature of uncertainty," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 43-59, January.
    8. Thomas Breuer & Martin Jandacka & Klaus Rheinberger & Martin Summer, 2009. "How to Find Plausible, Severe and Useful Stress Scenarios," International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 205-224, September.
    9. Matt Pritsker, 2016. "An Overview of Regulatory Stress-Testing and How to Improve It," World Scientific Book Chapters, in: Asli Demirgüç-Kunt & Douglas D Evanoff & George G Kaufman (ed.), The Future of Large, Internationally Active Banks, chapter 17, pages 259-271, World Scientific Publishing Co. Pte. Ltd..
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    Cited by:

    1. Tomaso Aste, 2020. "Stress testing and systemic risk measures using multivariate conditional probability," Papers 2004.06420, arXiv.org, revised May 2021.
    2. Tomaso Aste, 2021. "Stress Testing and Systemic Risk Measures Using Elliptical Conditional Multivariate Probabilities," JRFM, MDPI, vol. 14(5), pages 1-17, May.

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