How to Capture Macro-Financial Spillover Effects in Stress Tests?

How to Capture Macro-Financial Spillover Effects in Stress Tests?
One of the challenges of financial stability analysis and bank stress testing is how to establish scenarios with meaningful macro-financial linkages, i.e., taking into account spillover effects and other forms of contagion. We come up with an approach to simulate the potential impact of spillover effects based on the "traditional" design of... READ MORE...

Publication date: June 2014
ISBN 9781498379083
$18.00

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