A modelling framework for equity portfolio projections under different carbon price scenarios
L Prosperi, L Zanin - Journal of Climate Finance, 2024 - Elsevier
It is recognised that climate risks (including carbon pricing policy) are a new source of risk
for the financial system. We propose a modelling framework for medium-term projections of …
for the financial system. We propose a modelling framework for medium-term projections of …
How severe are the EBA macroeconomic scenarios for the Italian Economy? A joint probability approach
M Bonucchi, M Catalano - Journal of International Money and Finance, 2022 - Elsevier
Measures of the severity of macroeconomic scenarios have been widely used in the
literature, but a consistent methodology for their calculation has not been developed yet …
literature, but a consistent methodology for their calculation has not been developed yet …
The calibration of initial shocks in bank stress test scenarios: An outlier detection based approach
O Darné, G Levy-Rueff, A Pop - Economic Modelling, 2024 - Elsevier
The shock scenarios used in the practice of stress testing are often based on ad hoc
hypotheses concerning the evolution of risk factors. Consequently, they have been criticized …
hypotheses concerning the evolution of risk factors. Consequently, they have been criticized …
[引用][C] Macro-prudential tools, banking sector resilience and economic growth in Tanzania.
KJ Kishimba - 2023
[引用][C] A modelling framework for projections of equity portfolio returns under climate transition scenarios
L Prosperi, L Zanin - Available at SSRN, 2022