Stress testing with multiple scenarios: a tale on tails and reverse stress scenarios
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More about this item
Keywords
banking sector risks; financial stability; macroprudential stress test; multiple scenarios; reverse stress testing; systemic risks;All these keywords.
JEL classification:
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- 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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2024-06-17 (Banking)
- NEP-CBA-2024-06-17 (Central Banking)
- NEP-RMG-2024-06-17 (Risk Management)
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