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Systematic scenario selection: stress testing and the nature of uncertainty

Citations

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Cited by:

  1. Daniel Grigat & Fabio Caccioli, 2017. "Reverse stress testing interbank networks," Papers 1702.08744, arXiv.org, revised Mar 2017.
  2. Kim, Sooji & Plosser, Matthew C. & Santos, João A.C., 2018. "Macroprudential policy and the revolving door of risk: Lessons from leveraged lending guidance," Journal of Financial Intermediation, Elsevier, vol. 34(C), pages 17-31.
  3. Günter Franke, 2020. "Management nicht-finanzieller Risiken: eine Forschungsagenda [Management of Non-Financial Risks: A Research Agenda]," Schmalenbach Journal of Business Research, Springer, vol. 72(3), pages 279-320, September.
  4. Gloria González‐Rivera & C. Vladimir Rodríguez‐Caballero & Esther Ruiz, 2024. "Expecting the unexpected: Stressed scenarios for economic growth," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 926-942, August.
  5. Klingelhöfer, Jan & Sun, Rongrong, 2019. "Macroprudential policy, central banks and financial stability: Evidence from China," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 19-41.
  6. Fendoğlu, Salih, 2017. "Credit cycles and capital flows: Effectiveness of the macroprudential policy framework in emerging market economies," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 110-128.
  7. Packham, Natalie & Woebbeking, Fabian, 2021. "Correlation scenarios and correlation stress testing," IRTG 1792 Discussion Papers 2021-012, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  8. Moratis, Georgios & Sakellaris, Plutarchos, 2021. "Measuring the systemic importance of banks," Journal of Financial Stability, Elsevier, vol. 54(C).
  9. Gloria González-Rivera & Carlos Vladimir Rodríguez-Caballero & Esther Ruiz Ortega, 2021. "Expecting the unexpected: economic growth under stress," CREATES Research Papers 2021-06, Department of Economics and Business Economics, Aarhus University.
  10. N. Packham & F. Woebbeking, 2021. "Correlation scenarios and correlation stress testing," Papers 2107.06839, arXiv.org, revised Sep 2022.
  11. Michele Costola & Bertrand Maillet & Zhining Yuan & Xiang Zhang, 2024. "Mean–variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem," Annals of Operations Research, Springer, vol. 334(1), pages 133-155, March.
  12. Breuer, Thomas & Summer, Martin, 2020. "Systematic stress tests on public data," Journal of Banking & Finance, Elsevier, vol. 118(C).
  13. Jose M Berrospide & Ricardo Correa & Linda S Goldberg & Friederike Niepmann, 2017. "International Banking and Cross-Border Effects of Regulation: Lessons from the United States," International Journal of Central Banking, International Journal of Central Banking, vol. 13(2), pages 435-476, March.
  14. 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.
  15. Peter Grundke & Kamil Pliszka, 2018. "A macroeconomic reverse stress test," Review of Quantitative Finance and Accounting, Springer, vol. 50(4), pages 1093-1130, May.
  16. Campiglio, Emanuele, 2016. "Beyond carbon pricing: The role of banking and monetary policy in financing the transition to a low-carbon economy," Ecological Economics, Elsevier, vol. 121(C), pages 220-230.
  17. Paul Glasserman & Mike Li, 2022. "Should Bank Stress Tests Be Fair?," Papers 2207.13319, arXiv.org, revised May 2023.
  18. Michel Baes & Eric Schaanning, 2023. "Reverse stress testing: Scenario design for macroprudential stress tests," Mathematical Finance, Wiley Blackwell, vol. 33(2), pages 209-256, April.
  19. Pliszka, Kamil, 2021. "System-wide and banks' internal stress tests: Regulatory requirements and literature review," Discussion Papers 19/2021, Deutsche Bundesbank.
  20. Packham, N. & Woebbeking, F., 2023. "Correlation scenarios and correlation stress testing," Journal of Economic Behavior & Organization, Elsevier, vol. 205(C), pages 55-67.
  21. Bassett, William F. & Marsh, W. Blake, 2017. "Assessing targeted macroprudential financial regulation: The case of the 2006 commercial real estate guidance for banks," Journal of Financial Stability, Elsevier, vol. 30(C), pages 209-228.
  22. Jingnan Chen & Mark D. Flood & Richard B. Sowers, 2015. "Measuring the Unmeasurable: An Application of Uncertainty Quantification to Financial Portfolios," Working Papers 15-19, Office of Financial Research, US Department of the Treasury.
  23. Levy-Carciente, Sary & Kenett, Dror Y. & Avakian, Adam & Stanley, H. Eugene & Havlin, Shlomo, 2015. "Dynamical macroprudential stress testing using network theory," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 164-181.
  24. Dror Y. Kenett & Sary Levy-Carciente & Adam Avakian & H. Eugene Stanley & Shlomo Havlin, 2015. "Dynamical Macroprudential Stress Testing Using Network Theory," Working Papers 15-12, Office of Financial Research, US Department of the Treasury.
  25. Seabrook, Isobel & Caccioli, Fabio & Aste, Tomaso, 2022. "Quantifying impact and response in markets using information filtering networks," LSE Research Online Documents on Economics 115308, London School of Economics and Political Science, LSE Library.
  26. Greenwood-Nimmo, Matthew & Tarassow, Artur, 2016. "Monetary shocks, macroprudential shocks and financial stability," Economic Modelling, Elsevier, vol. 56(C), pages 11-24.
  27. Thomas Breuer & Martin Summer, 2018. "Systematic Systemic Stress Tests," Working Papers 225, Oesterreichische Nationalbank (Austrian Central Bank).
  28. Merim KASUMOVIĆ & Mirna MEŠIĆ, 2018. "Macroprudential stability indicators of financial systems: Analysis of Bosnia and Herzegovina and Croatia," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(1(614), S), pages 41-54, Spring.
  29. Aikman, David & Angotti, Romain & Budnik, Katarzyna, 2024. "Stress testing with multiple scenarios: a tale on tails and reverse stress scenarios," Working Paper Series 2941, European Central Bank.
  30. Pritsker, Matt, 2019. "An overview of regulatory stress-testing and steps to improve it," Global Finance Journal, Elsevier, vol. 39(C), pages 39-43.
  31. Packham, N. & Woebbeking, C.F., 2019. "A factor-model approach for correlation scenarios and correlation stress testing," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 92-103.
  32. Natalie Packham & Fabian Woebbeking, 2018. "A factor-model approach for correlation scenarios and correlation stress-testing," Papers 1807.11381, arXiv.org, revised Jan 2019.
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