Stress-testing financial systems: an overview of current methodologies
M Sorge - 2004 - papers.ssrn.com
This paper reviews the state-of-the-art of macro stress-testing methodologies. Substantial
progress has been made both in the econometric analysis of financial soundness indicators …
progress has been made both in the econometric analysis of financial soundness indicators …
A comparative analysis of macro stress-testing methodologies with application to Finland
M Sorge, K Virolainen - Journal of financial stability, 2006 - Elsevier
This paper reviews the state-of-the-art of macro stress-testing methodologies. We assess the
progress made both in the econometric analysis of balance sheet indicators and in the …
progress made both in the econometric analysis of balance sheet indicators and in the …
Interbank credit lines as a channel of contagion
J Müller - Journal of Financial Services Research, 2006 - Springer
This paper assesses the potential for contagion in the Swiss interbank market using new
data on bilateral bank exposures as well as on credit lines. A simulation approach is applied …
data on bilateral bank exposures as well as on credit lines. A simulation approach is applied …
The switching impact of financial stability and economic growth in Qatar: Evidence from an oil-rich country
This paper investigates the relationship between financial stability and economic growth in
the Qatar economy over the period 1980: Q1–2013: Q4. The paper estimates the short-and …
the Qatar economy over the period 1980: Q1–2013: Q4. The paper estimates the short-and …
[PDF][PDF] Macro stress tests of UK banks
G Hoggarth, A Logan, L Zicchino - BIS papers, 2005 - papers.ssrn.com
Stress testing the vulnerability of financial institutions to adverse macroeconomic events is
an important tool in assessing financial stability. Central banks and financial regulators …
an important tool in assessing financial stability. Central banks and financial regulators …
[PDF][PDF] A market based macro stress test for the corporate credit exposures of UK banks
M Drehmann - BCBS seminar–banking and financial stability …, 2005 - Citeseer
This paper presents a stress test for corporate exposures of UK banks. The default process
is modelled via a Merton model and several macroeconomic as well market factors are …
is modelled via a Merton model and several macroeconomic as well market factors are …
Quantitative assessment of the financial sector: an integrated approach
DL Worrell - 2004 - papers.ssrn.com
This paper suggests a strategy designed to make best use of the available quantitative
techniques of financial sector assessment. It incorporates early warning systems, financial …
techniques of financial sector assessment. It incorporates early warning systems, financial …
Stress testing French banks' income subcomponents
J Coffinet, S Lin, C Martin - 2009 - papers.ssrn.com
Using a broad dataset of individual consolidated data of French banks over the period 1993-
2007, we seek to evaluate the sensitivity to adverse macroeconomic scenarios of the three …
2007, we seek to evaluate the sensitivity to adverse macroeconomic scenarios of the three …
Забезпечення стійкості банківської системи України
ВО Зінченко - 2008 - essuir.sumdu.edu.ua
Дисертація присвячена розгляду комплексного механізму забезпечення стійкості
банківської системи України. В роботі обгрунтована значимість наявності стратегії …
банківської системи України. В роботі обгрунтована значимість наявності стратегії …
Рання діагностика банкрутства банків
РА Павлов - 2008 - essuir.sumdu.edu.ua
У дисертації досліджено теоретичні основи ранньої діагностики банкрутства банків.
Проведено аналіз основних методичних підходів до раннього діагностування …
Проведено аналіз основних методичних підходів до раннього діагностування …