On Reverse Stress Testing for Worst Case Scenarios: An Application to Credit Risk Modeling of Tunisian Economic Sectors
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Illing, Mark & Liu, Ying, 2006. "Measuring financial stress in a developed country: An application to Canada," Journal of Financial Stability, Elsevier, vol. 2(3), pages 243-265, October.
- Ruodu Wang & Liang Peng & Jingping Yang, 2013. "Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities," Finance and Stochastics, Springer, vol. 17(2), pages 395-417, April.
- Mr. Stephan Danninger & Ms. Irina Tytell & Mr. Ravi Balakrishnan & Mr. Selim A Elekdag, 2009. "The Transmission of Financial Stress from Advanced to Emerging Economies," IMF Working Papers 2009/133, International Monetary Fund.
- repec:zbw:bofrdp:2004_018 is not listed on IDEAS
- repec:zbw:bofrdp:2005_013 is not listed on IDEAS
- Breuer, Thomas & Jandačka, Martin & Mencía, Javier & Summer, Martin, 2012.
"A systematic approach to multi-period stress testing of portfolio credit risk,"
Journal of Banking & Finance, Elsevier, vol. 36(2), pages 332-340.
- Thomas Breuer & Martin Jandačka & Javier Mencía & Martin Summer, 2010. "A systematic approach to multi-period stress testing of portfolio credit risk," Working Papers 1018, Banco de España.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Cristófoli, María Elizabeth & García Fronti, Javier, 2019. "Macroeconomic Reverse Stress Testing: An Early-Warning System for Spanish Banking Regulators. Analysis Based on the 2008 Global Financial Crisis / Prueba de resistencia inversa Macroeconómica: una pru," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 9(2), pages 181-204, julio-dic.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Nasreen, Samia & Anwar, Sofia & Ozturk, Ilhan, 2017. "Financial stability, energy consumption and environmental quality: Evidence from South Asian economies," Renewable and Sustainable Energy Reviews, Elsevier, vol. 67(C), pages 1105-1122.
- Rémy Charleroy & Michael A. Stemmer, 2014.
"An Emerging Market Financial Conditions Index: A VAR Approach,"
Documents de travail du Centre d'Economie de la Sorbonne
14068, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Rémy Charleroy & Michael A. Stemmer, 2014. "An Emerging Market Financial Conditions Index: A VAR Approach," Post-Print halshs-01110688, HAL.
- Rémy Charleroy & Michael A. Stemmer, 2014. "An Emerging Market Financial Conditions Index: A VAR Approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01110688, HAL.
- Huotari, Jarkko, 2015. "Measuring financial stress – A country specific stress index for Finland," Bank of Finland Research Discussion Papers 7/2015, Bank of Finland.
- Leroi RAPUTSOANE, 2015.
"The lean versus clean debate and monetary policy in South Africa,"
Journal of Economics and Political Economy, KSP Journals, vol. 2(4), pages 467-480, December.
- Raputsoane, Leroi, 2015. "The lean versus clean debate and monetary policy in South Africa," MPRA Paper 68123, University Library of Munich, Germany.
- Chadwick, Meltem Gulenay & Ozturk, Huseyin, 2019.
"Measuring financial systemic stress for Turkey: A search for the best composite indicator,"
Economic Systems, Elsevier, vol. 43(1), pages 151-172.
- Meltem Gulenay Chadwick & Huseyin Ozturk, 2018. "Measuring Financial Systemic Stress for Turkey: A Search for the Best Composite Indicator," Working Papers 1816, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Polat, Onur & Ozkan, Ibrahim, 2019. "Transmission mechanisms of financial stress into economic activity in Turkey," Journal of Policy Modeling, Elsevier, vol. 41(2), pages 395-415.
- Shijaku, Gerti, 2014. "Fiscal policy, output and financial stress in the case of developing and emerging European economies: a threshold VAR approach," MPRA Paper 79139, University Library of Munich, Germany.
- repec:zbw:bofrdp:2015_007 is not listed on IDEAS
- Kevin L. Kliesen & Michael T. Owyang & E. Katarina Vermann, 2012. "Disentangling diverse measures: a survey of financial stress indexes," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 369-398.
- Jaromír Baxa & Roman Horváth & Bořek Vašíček, 2011. "Time Varying Monetary Policy Rules and Financial Stress," Chapters, in: Sylvester Eijffinger & Donato Masciandaro (ed.), Handbook of Central Banking, Financial Regulation and Supervision, chapter 10, Edward Elgar Publishing.
- Elgin, Ceyhun & Uras, Burak R., 2013.
"Public debt, sovereign default risk and shadow economy,"
Journal of Financial Stability, Elsevier, vol. 9(4), pages 628-640.
- Ceyhun Elgin & Burak R. Uras, 2012. "Public Debt, Sovereign Default Risk and Shadow Economy," Working Papers 2012/10, Bogazici University, Department of Economics.
- Elgin, C. & Uras, R.B., 2013. "Public debt, sovereign default risk and shadow economy," Other publications TiSEM c3f85480-587f-464d-a748-a, Tilburg University, School of Economics and Management.
- António Afonso & Jaromír Baxa & Michal Slavík, 2018.
"Fiscal developments and financial stress: a threshold VAR analysis,"
Empirical Economics, Springer, vol. 54(2), pages 395-423, March.
- António Afonso & Jaromír Baxa & Michal Slavík, 2011. "Fiscal developments and financial stress: a threshold VAR analysis," Working Papers IES 2011/16, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2011.
- António Afonso & Jaromír Baxa & Michal Slavík, 2011. "Fiscal developments and financial stress: a threshold VAR analysis," Working Papers Department of Economics 2011/11, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
- Afonso, António & Slavík, Michal & Baxa, Jaromír, 2011. "Fiscal developments and financial stress: a threshold VAR analysis," Working Paper Series 1319, European Central Bank.
- Layal MansourIshrakieh & Leila Dagher & Sadika El Hariri, 2020.
"A financial stress index for a highly dollarized developing country : The case of Lebanon,"
Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 20(2), pages 43-52.
- Mansour Ishrakieh, Layal & Dagher, Leila & El Hariri, Sadika, 2019. "A Financial Stress Index for a Highly Dollarized Developing Country: The Case of Lebanon," MPRA Paper 116083, University Library of Munich, Germany.
- Park, Cyn-Young & Mercado, Rogelio V., 2014.
"Determinants of financial stress in emerging market economies,"
Journal of Banking & Finance, Elsevier, vol. 45(C), pages 199-224.
- Park, Cyn-Young & Mercado, Jr., Rogelio V., 2013. "Determinants of Financial Stress in Emerging Market Economies," ADB Economics Working Paper Series 356, Asian Development Bank.
- Huotari, Jarkko, 2015. "Measuring financial stress – A country specific stress index for Finland," Research Discussion Papers 7/2015, Bank of Finland.
- Apostolakis, George & Papadopoulos, Athanasios P., 2015. "Financial stress spillovers across the banking, securities and foreign exchange markets," Journal of Financial Stability, Elsevier, vol. 19(C), pages 1-21.
- Nimantha Manamperi, 2015. "A Comparative Analysis on US Financial Stress Indicators," International Journal of Economics and Financial Issues, Econjournals, vol. 5(2), pages 613-623.
- Truong, Chi & Sheen, Jeffrey & Trück, Stefan & Villafuerte, James, 2022. "Early warning systems using dynamic factor models: An application to Asian economies," Journal of Financial Stability, Elsevier, vol. 58(C).
- Dovern, Jonas & van Roye, Björn, 2014. "International transmission and business-cycle effects of financial stress," Journal of Financial Stability, Elsevier, vol. 13(C), pages 1-17.
- Lo Luca, Marco & Peltonen, Tuomas, 2011. "Macro-financial vulnerabilities and future financial stress: Assessing systemic risks and predicting systemic events," BOFIT Discussion Papers 2/2011, Bank of Finland Institute for Emerging Economies (BOFIT).
- repec:zbw:bofitp:2011_002 is not listed on IDEAS
- Lo Luca, Marco & Peltonen, Tuomas, 2011. "Macro-financial vulnerabilities and future financial stress : Assessing systemic risks and predicting systemic events," BOFIT Discussion Papers 2/2011, Bank of Finland, Institute for Economies in Transition.
More about this item
Keywords
reverse stress testing; worst case scenarios; credit risk; value at risk; generalized Pareto distribution.;All these keywords.
JEL classification:
- C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
- G01 - Financial Economics - - General - - - Financial Crises
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sek:jijoes:v:4:y:2015:i:2:p:40-56. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Klara Cermakova (email available below). General contact details of provider: https://ijoes.iises.net/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.