Systematic stress tests on public data

Journal of Banking & Finance(2020)

引用 10|浏览1
暂无评分
摘要
•Systematic scenario selection produces more severe stress test results.•Stress scenarios of the European Banking Authority are less severe at the same level of plausibility.•We demonstrate the application of our concepts in an example of credit risk stress testing of the biggest European banks.
更多
查看译文
关键词
Stress testing,Risk measures,Scenario analysis,Systemic risk
AI 理解论文
溯源树
样例
生成溯源树,研究论文发展脉络
Chat Paper
正在生成论文摘要