Modelling Scenario Analysis and Macro Stress-testing

By J. End, M. Hoeberichts, Mostafa Tabbae. 2006

53 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/0dfaacd83379a1546f583ccd271b7259cb5bd71c

Citations in the corpus

• A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector (2010, unknown): “…shocks (Gerlach et al., 2003; Pesola, 2001, 2005; røyland and Larsen, 2002; Barnhill et al., 2006; Misina and Tessier, 007; Berkowitz, 1999; van den End et al., 2006; Hoggarth and hitley, 2003; Boss et al., 2007; Virolainen, 2004; Sorge, 2004, mong others).4 In this literature, the main…”
• Stress Testing Credit Risk: A Survey of Authorities' Approaches (2012, unknown): “Van den End, Hoeberichts, and Tabbae (2006) also use a well-developed macro model (Norkmon/NIGEM) to simulate macro stress scenarios.”