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Macro stress tests and crises: what can we learn?

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Cited by:

  1. Thi Xuan Huong Tram & Nguyen Thi Thanh Hoai, 2021. "Effect of macroeconomic variables on systemic risk: Evidence from Vietnamese economy," Economics and Business Letters, Oviedo University Press, vol. 10(3), pages 217-228.
  2. Chowdhury, Biplob & Dungey, Mardi & Kangogo, Moses & Sayeed, Mohammad Abu & Volkov, Vladimir, 2019. "The changing network of financial market linkages: The Asian experience," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 71-92.
  3. Kolari, James W. & López-Iturriaga, Félix J. & Sanz, Ivan Pastor, 2019. "Predicting European bank stress tests: Survival of the fittest," Global Finance Journal, Elsevier, vol. 39(C), pages 44-57.
  4. Covas, Francisco B. & Rump, Ben & Zakrajšek, Egon, 2014. "Stress-testing US bank holding companies: A dynamic panel quantile regression approach," International Journal of Forecasting, Elsevier, vol. 30(3), pages 691-713.
  5. Michal Franta & Jozef Barunik & Roman Horvath & Katerina Smidkova, 2011. "Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests," Working Papers 2011/10, Czech National Bank.
  6. Richard Bookstaber & Mark Paddrik & Brian Tivnan, 2018. "An agent-based model for financial vulnerability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 433-466, July.
  7. Canuto, Otaviano & Cavallari, Matheus, 2013. "Monetary policy and macroprudential regulation : whither emerging markets," Policy Research Working Paper Series 6310, The World Bank.
  8. Jon Christensson & Kenneth Spong & Jim Wilkinson, 2011. "What can financial stability reports tell us about macroprudential supervision?," Research Working Paper RWP 11-15, Federal Reserve Bank of Kansas City.
  9. Office of Financial Research (ed.), 2012. "Office of Financial Research 2012 Annual Report," Reports, Office of Financial Research, US Department of the Treasury, number 12-1, May.
  10. Varotto, Simone, 2012. "Stress testing credit risk: The Great Depression scenario," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3133-3149.
  11. Peter Grundke & Kamil Pliszka, 2018. "A macroeconomic reverse stress test," Review of Quantitative Finance and Accounting, Springer, vol. 50(4), pages 1093-1130, May.
  12. Salleo, Carmelo & Homar, Timotej & Kick, Heinrich, 2016. "Making sense of the EU wide stress test: a comparison with the SRISK approach," Working Paper Series 1920, European Central Bank.
  13. Paolo Guarda & Abdelaziz Rouabah & John Theal, 2011. "An MVAR Framework to Capture Extreme Events in Macroprudential Stress Tests," BCL working papers 63, Central Bank of Luxembourg.
  14. Krishan Mohan Nagpal, 2017. "Designing stress scenarios for portfolios," Risk Management, Palgrave Macmillan, vol. 19(4), pages 323-349, November.
  15. Borio, Claudio & Drehmann, Mathias & Tsatsaronis, Kostas, 2014. "Stress-testing macro stress testing: Does it live up to expectations?," Journal of Financial Stability, Elsevier, vol. 12(C), pages 3-15.
  16. Peterson K. Ozili, 2020. "Does competence of central bank governors influence financial stability?," Future Business Journal, Springer, vol. 6(1), pages 1-20, December.
  17. Mahmoud Haddad & Sam Hakim, 2016. "Can Gulf Banks Pass the CCAR Stress Tests?," Working Papers 1032, Economic Research Forum, revised Aug 2016.
  18. Trent Saunders & Peter Tulip, 2019. "Cost-benefit Analysis of Leaning against the Wind," RBA Research Discussion Papers rdp2019-05, Reserve Bank of Australia.
  19. Filippo di Mauro & Alexander Al-Haschimi & Stephane Dees & Martina Jancokova, 2014. "Linking Distress of Financial Institutions to Macrofinancial Shocks," EcoMod2014 6807, EcoMod.
  20. Gary Gorton, 2015. "Stress for Success: A Review of Timothy Geithner's Financial Crisis Memoir," Journal of Economic Literature, American Economic Association, vol. 53(4), pages 975-995, December.
  21. Cristina Gutiérrez-López & Julio Abad-González, 2020. "Sustainability in the Banking Sector: A Predictive Model for the European Banking Union in the Aftermath of the Financial Crisis," Sustainability, MDPI, vol. 12(6), pages 1-25, March.
  22. Claudio Borio, 2011. "Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challenges, and a Way Forward," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 87-117, December.
  23. Mr. Christian Schmieder & Maher Hasan & Mr. Claus Puhr, 2011. "Next Generation Balance Sheet Stress Testing," IMF Working Papers 2011/083, International Monetary Fund.
  24. Giuseppe Montesi & Giovanni Papiro, 2018. "Bank Stress Testing: A Stochastic Simulation Framework to Assess Banks’ Financial Fragility †," Risks, MDPI, vol. 6(3), pages 1-54, August.
  25. Mr. Daniel C Hardy & Mr. Christian Schmieder, 2013. "Rules of Thumb for Bank Solvency Stress Testing," IMF Working Papers 2013/232, International Monetary Fund.
  26. Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
  27. Claudio Borio, 2011. "The financial crisis: what implications for new statistics?," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010, volume 34, pages 1-8, Bank for International Settlements.
  28. Drakos, Anastassios A. & Kouretas, Georgios P., 2015. "Bank ownership, financial segments and the measurement of systemic risk: An application of CoVaR," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 127-140.
  29. Noor-e-Saher & Mehran Herbert, 2010. "Response of Long-term Interest Rate to Fiscal Imbalance: Evidence from Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 6, pages 43-49.
  30. Jying‐Nan Wang & Yuan‐Teng Hsu & Joe‐Ming Lee & Chih‐Chun Chen, 2021. "Measuring Systemic Risk: Capital Shortfall and CSRISK," International Review of Finance, International Review of Finance Ltd., vol. 21(1), pages 358-369, March.
  31. Mathias Drehmann & Claudio Borio & Kostas Tsatsaronis, 2011. "Anchoring Countercyclical Capital Buffers: The role of Credit Aggregates," International Journal of Central Banking, International Journal of Central Banking, vol. 7(4), pages 189-240, December.
  32. Richard Bookstaber, 2012. "Using Agent-Based Models for Analyzing Threats to Financial Stability," Working Papers 12-03, Office of Financial Research, US Department of the Treasury.
  33. Schechtman, Ricardo & Gaglianone, Wagner Piazza, 2012. "Macro stress testing of credit risk focused on the tails," Journal of Financial Stability, Elsevier, vol. 8(3), pages 174-192.
  34. J'ozsef Mezei & Peter Sarlin, 2016. "RiskRank: Measuring interconnected risk," Papers 1601.06204, arXiv.org.
  35. Rupeika-Apoga, Ramona, 2010. "Globalisation and the financial sector," SEER Journal for Labour and Social Affairs in Eastern Europe, Nomos Verlagsgesellschaft mbH & Co. KG, vol. 13(2), pages 257-269.
  36. Marcin Łupiński, 2013. "Statistical Data and Models Used for Analysis and Management of Financial Stability at the Macro Level," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 32.
  37. Borio Claudio, 2011. "Implementing a Macroprudential Framework: Blending Boldness and Realism," Capitalism and Society, De Gruyter, vol. 6(1), pages 1-25, August.
  38. Reza Siregar & Lim, C.S. Vincent, 2011. "Living with Macro-financial Linkages: Policy Perspectives and Challenges for SEACEN Countries," Staff Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number sp79.
  39. Clyde Goodlet, 2010. "Too Big to Fail: A Misguided Policy in Times of Financial Turmoil," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 311, October.
  40. Acharya, Viral & Engle, Robert & Pierret, Diane, 2014. "Testing macroprudential stress tests: The risk of regulatory risk weights," Journal of Monetary Economics, Elsevier, vol. 65(C), pages 36-53.
  41. Hatem Salah & Marwa Souissi, 2016. "Financial Stability and Macro Prudential Regulation: Policy Implication of Systemic Expected Shortfall Measure," Working Papers 985, Economic Research Forum, revised Apr 2016.
  42. Lemus, Antonio & Nuñez, Marco, 2020. "Pruebas de tensión bancaria: experiencia en los principales mercados financieros del mundo y en Chile [Bank stress tests: evidence from the main financial markets and Chile]," MPRA Paper 99097, University Library of Munich, Germany.
  43. Andersen, Henrik & Juelsrud, Ragnar Enger, 2024. "Optimal capital adequacy ratios for banks," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 5(2).
  44. Malgorzata Olszak, 2012. "Macroprudential policy - aim, instruments and institutional architecture (Polityka ostroznosciowa w ujêciu makro - cel, instrumenty i architektura instytucjonalna)," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 10(39), pages 7-32.
  45. Brownlees, Christian & Hans, Christina & Nualart, Eulalia, 2021. "Bank credit risk networks: Evidence from the Eurozone," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 585-599.
  46. Jozsef Mezei & Peter Sarlin, 2014. "Aggregation operators for the measurement of systemic risk," Papers 1412.5452, arXiv.org, revised Dec 2014.
  47. Abildgren, Kim, 2014. "Far out in the tails – The historical distributions of macro-financial risk factors in Denmark," Nationaløkonomisk tidsskrift, Nationaløkonomisk Forening, vol. 2014(1), pages 1-31.
  48. Nan Chen & Paul Glasserman & Behzad Nouri & Markus Pelger, 2013. "CoCos, Bail-In, and Tail Risk," Working Papers 13-04, Office of Financial Research, US Department of the Treasury.
  49. Andreas Jobst & Ms. Li L Ong & Mr. Christian Schmieder, 2013. "A Framework for Macroprudential Bank Solvency Stress Testing: Application to S-25 and Other G-20 Country FSAPs," IMF Working Papers 2013/068, International Monetary Fund.
  50. Georgios Papadopoulos & Dionysios Chionis & Nikolaos P. Rachaniotis, 2018. "Macro-financial linkages during tranquil and crisis periods: evidence from stressed economies," Risk Management, Palgrave Macmillan, vol. 20(2), pages 142-166, May.
  51. Michal Franta & Jozef Baruník & Roman Horváth & Katerina Smídková, 2014. "Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests," International Journal of Central Banking, International Journal of Central Banking, vol. 10(1), pages 159-188, March.
  52. Kaihua Deng & Dun Jia, 2018. "Backtesting Stress Tests: A Guide for M2 Forward Guidance," Annals of Economics and Finance, Society for AEF, vol. 19(2), pages 443-471, November.
  53. Asghar Ali & Kevin Daly, 2010. "What Explain Credit Defaults? A Comparative Study," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 6, pages 51-65.
  54. Engle, Robert F. & Emambakhsh, Tina & Manganelli, Simone & Parisi, Laura & Pizzeghello, Riccardo, 2024. "Estimating systemic risk for non-listed Euro-area banks," Journal of Financial Stability, Elsevier, vol. 75(C).
  55. Jaime Caruana, 2010. "Financial Stability: Ten Questions and about Seven Answers," RBA Annual Conference Volume (Discontinued), in: Christopher Kent & Michael Robson (ed.),Reserve Bank of Australia 50th Anniversary Symposium, Reserve Bank of Australia.
  56. 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.
  57. Giuseppe Montesi & Giovanni Papiro & Massimiliano Fazzini & Alessandro Ronga, 2020. "Stochastic Optimization System for Bank Reverse Stress Testing," JRFM, MDPI, vol. 13(8), pages 1-44, August.
  58. Mark Flood & George Korenko, 2013. "Systematic Scenario Selection," Working Papers 13-02, Office of Financial Research, US Department of the Treasury.
  59. Mezei, József & Sarlin, Peter, 2018. "RiskRank: Measuring interconnected risk," Economic Modelling, Elsevier, vol. 68(C), pages 41-50.
  60. Chafik, Omar & Mikou, Mohammed & Slaoui, Yassine & Motl, Tomas, 2022. "A DSGE model for macroprudential policy in Morocco," Document de travail 2022-3, Bank Al-Maghrib, Département de la Recherche.
  61. Mr. Dimitri G Demekas, 2015. "Designing Effective Macroprudential Stress Tests: Progress So Far and the Way Forward," IMF Working Papers 2015/146, International Monetary Fund.
  62. Matthew Pritsker, 2017. "Choosing Stress Scenarios for Systemic Risk Through Dimension Reduction," Supervisory Research and Analysis Working Papers RPA 17-4, Federal Reserve Bank of Boston.
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