Macro Stress Testing Framework at the National Bank of Slovakia
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Cited by:
- Jozef Kalman & Jan Klacso & Roman Vasil & Juraj Zeman, 2023. "What's the Cost of "Saving the Planet" for Banks? Assessing the Indirect Impact of Climate Transition Risks on Slovak Banks' Loan Portfolios," Working and Discussion Papers WP 7/2023, Research Department, National Bank of Slovakia.
- Ján Klacso, 2024. "How Micro Data Improve the Estimation of Household Credit Risk Within the Macro Stress Testing Framework," Computational Economics, Springer;Society for Computational Economics, vol. 64(2), pages 707-733, August.
- Dua, Pami & Kapur, Hema, 2018. "Macro stress testing and resilience assessment of Indian banking," Journal of Policy Modeling, Elsevier, vol. 40(2), pages 452-475.
- Lubomira Gertler & Kristina Janovicova-Bognarova & Lukas Majer, 2020. "Explaining Corporate Credit Default Rates with Sector Level Detail," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 70(2), pages 96-120, August.
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Keywords
macro stress testing; banking sector; back testing;All these keywords.
JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MAC-2014-11-17 (Macroeconomics)
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