Bundesbank paper examines stress-test models
A working paper published by the Deutsche Bundesbank presents a method to examine how well stress-test models predict whether specific banks may fail.
In Backtesting macro-prudential stress tests, Amanah Ramadiah, Daniel Fricke and Fabio Caccioli outline a generalised fire-sale stress-test model. They say their model “captures a wide range of behavioural assumptions with regards to banks’ liquidation dynamics under stress”.
Their model is based on network of common asset holdings using 2007
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@centralbanking.com or view our subscription options here: http://subscriptions.centralbanking.com/subscribe
You are currently unable to print this content. Please contact info@centralbanking.com to find out more.
You are currently unable to copy this content. Please contact info@centralbanking.com to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@centralbanking.com
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@centralbanking.com