From Stress to Costress : Stress Testing Interconnected Banking Systems /
This paper presents an integrated framework for assessing systemic risk. The framework models banks' capital asset ratios as a function of future losses and credit growth using a generalized method of moments to calibrate shocks to credit quality and credit growth. The analysis is complemented...
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| 格式: | 雜誌 |
| 語言: | English |
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Washington, D.C. :
International Monetary Fund,
2012.
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| 叢編: | IMF Working Papers; Working Paper ;
No. 2012/053 |
| 在線閱讀: | Full text available on IMF |