Stress Testing and Calibration of Macroprudential Policy Tools /
We present a semi-structural model of default risk, which is a function of loan and borrower characteristics, economic conditions, and the regulatory environment. We use this model to simulate bank credit losses for stress-testing purposes and to calibrate borrower-based macroprudential tools. The p...
| Hovedforfatter: | Gornicka, Lucyna |
|---|---|
| Andre forfattere: | Valderrama, Laura |
| Format: | Tidsskrift |
| Sprog: | English |
| Udgivet: |
Washington, D.C. :
International Monetary Fund,
2020.
|
| Serier: | IMF Working Papers; Working Paper ;
No. 2020/165 |
| Online adgang: | Full text available on IMF |
Lignende værker
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Macroprudential Stress Tests and Policies : Searching for Robust and Implementable Frameworks /
af: Anderson, Ron
Udgivet: (2018) -
Macroprudential Stress Tests : A Reduced-Form Approach to Quantifying Systemic Risk Losses /
af: Alla, Zineddine
Udgivet: (2018) -
Towards Macroprudential Stress Testing : Incorporating Macro-Feedback Effects /
af: Krznar, Ivo
Udgivet: (2017) -
An Overview of Macroprudential Policy Tools /
af: Claessens, Stijn
Udgivet: (2014) -
Macroprudential Solvency Stress Testing of the Insurance Sector /
af: Jobst, Andreas A.
Udgivet: (2014)