Systematic stress tests on public data
Journal of Banking & Finance(2020)
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.
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关键词
Stress testing,Risk measures,Scenario analysis,Systemic risk
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