Systemic risk in the banking sector is usually associated with long periods of economic
downturns and very large social costs. On one hand, shocks coming from correlated …

In this paper, we survey the rapidly developing literature on macroprudential stress-testing
models. The scope of the survey includes models of contagion between banks, models of …

We investigate the impact of capital requirements on bank lending across institutional
sectors, focusing on their transmission channel and the interaction with monetary policy. By …

In this paper we present a methodology of model-based calibration of additional capital
needed in an interconnected financial system to minimize potential contagion losses …

В сентябре Банк России совместно с Международным валютным фондом провел в
Москве двухдневный семинар по макропруденциальному стресс-тестированию. На …

In September, the Bank of Russia held a joint workshop with the International Monetary
Fund in Moscow on macroprudential stress testing. IMF experts, members of the research …

We identify contemporaneous and Granger-causal linkages between the 86 biggest
companies, representing both the financial and real sectors, of the Eurozone economy that …

We identify contemporaneous and Granger-causal linkages between the 86 biggest
companies, representing both the financial and real sectors, of the Eurozone economy that …