Macroprudential Stress Tests : A Reduced-Form Approach to Quantifying Systemic Risk Losses /
We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential stress testing. SE losses are measured using a reduced-form model to value financial entity assets, conditional on macroeconomic stress and the distre...
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| Altri autori: | , , |
| Natura: | Periodico |
| Lingua: | English |
| Pubblicazione: |
Washington, D.C. :
International Monetary Fund,
2018.
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| Serie: | IMF Working Papers; Working Paper ;
No. 2018/049 |
| Accesso online: | Full text available on IMF |