Stress-testing Financial Systems: An Overview of Current Methodologies

By M. Sorge. 2004

279 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/2f20ba2c4c8d9c9de239cf7cbe7aa98d66f7733d

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Citations in the corpus

Nonperforming Loans in the GCC Banking System and Their Macroeconomic Effects (2010, background): “…Stability Report of the European Central Bank (2006) provides a brief introduction into macro stress testing as well as an overview of EU country-level macro stress testing practices.3 A detailed introduction into stress testing and an overview of the related literature is given in Sorge (2004).”
What Can (Macro-) Prudential Policy do to Support Monetary Policy? (2007, unknown): “The second is the development of macro-stress tests (eg, Sorge (2004) and BIS (2005b)).”
A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector (2010, unknown): “…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 objective is to gauge he vulnerability of a portfolio (market, credit, or both) to…”
Micro and Macro Determinants of Non-performing Loan (2013, background): “Indeed, Sorge (2004) argues the use of such variables (non-performing loans and loan losses provisions) to assess the vulnerability of the financial system tests.”
Procyclicality in the financial system: do we need a new macrofinancial stabilisation framework? (2006, unknown): “Perhaps the only thing that is clear, as surveyed in a recent paper by Sorge (2004), is the substantial increase in analytical work being carried out on these difficult questions.”
Stress Tests of UK Banks Using a VAR Approach (2005, unknown): “Macroeconomic stress tests of the financial system have been developed in recent years (see Sorge (2004) for a recent survey and discussion).”
The determinants of non-performing loans: an econometric case study of Guyana (2009, background): “…in international competitiveness of the local economy (as reflected by an appreciation in the real effective exchange rate) may result in higher 2 Sorge (2004), for instance, reports that the stress testing literature makes extensive use of non-performing loans and loan loss provisions to assess…”
New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability (2007, unknown): “…is chosen, the time pattern of the following could be calculated and used with macroeconomic models: • Time series of CCA balance sheet components (assets, asset volatility, distress barriers and implicit put and call options) and sensitivity measures (e.g. delta and vega); 20 See Sorge (2004).”
What do we know about the effects of macroprudential policy (2018, unknown): “The fourth approach consists of macro stress tests, which can be used to trace the response of the financial system to unusually large exogenous shocks (Sorge, 2004 and Drehmann, 2009).”
Macroprudential Policy - A Literature Review (2012, unknown): “Secondly, the CoVaR measure, like the VaR measure, is likely to behave very differently in a crisis than in a normal period over which the 18 Surveys of the macro stress testing literature are provided by Sorge (2004) and Drehmann (2009).”
Monetary and Prudential Policies at a Crossroads? New Challenges in the New Century (2006, background): “…diagnostic tools such as macro-stress tests require a good understanding of the nexus between the evolution of the macroeconomy and the financial system, on the one hand, and the response of banks to deterioration in the quality of their assets, on the other (eg Sorge (2004) and IMF (2005)).”