Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses
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Cited by:
- Mr. Raphael A Espinoza & Miguel A. Segoviano & Ji Yan, 2020. "Systemic Risk Modeling: How Theory Can Meet Statistics," IMF Working Papers 2020/054, International Monetary Fund.
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Keywords
WP; Se loss; financial system; market price; Stress testing; systemic risk; financial stability; asset valuation model; LB default; interconnectedness structure; losses from Se; SRA loss; loss propagation; conditional loss; estimating Se loss; presents loss; stress test loss; amplification loss; CIMDO method; Financial contagion; Asset valuation; Countercyclical capital buffers; Global;All these keywords.
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