ECB working paper puts forward new model for use in stress tests

looking up into the clouds between buildings in the City of London

A new paper by an ECB researcher puts forward a new model of banks' asset portfolios, with the aim of accounting for the strategic and optimising behaviour of banks under adverse economic conditions.

In his modelling framework proposed in his paper: Optimal asset structure of a bank, Grzegorz Hałaj assumes banks respond in an optimising manner to changes in their economic environment (e.g. interest rate and credit risk shocks, funding disruptions). The modelling approach is based on the risk

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 [email protected] or view our subscription options here:

You are currently unable to copy this content. Please contact [email protected] to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Central Banking? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Central Banking account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: