Measuring and Stress-Testing Market-Implied Bank Capital
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- Martin Indergand & Eric Jondeau & Andreas Fuster, 2022. "Measuring and stress-testing market-implied bank capital," Working Papers 2022-02, Swiss National Bank.
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More about this item
Keywords
Banking; Capital; Stress Test; Systemic Risk; Multifactor Model;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G01 - Financial Economics - - General - - - Financial Crises
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2022-02-21 (Banking)
- NEP-CFN-2022-02-21 (Corporate Finance)
- NEP-RMG-2022-02-21 (Risk Management)
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