A comparative analysis of macro stress-testing methodologies with application to Finland

By M. Sorge, K. Virolainen. 2006

160 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/327b758232b3e73f2174af3eddf60bfbaf8e4f81

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Prasanna Gai
2. S. Kapadia
3. Laxmi Koju
4. Ram Koju
5. Shouyang Wang
6. Steffen Sørensen
7. Nada Mora
8. Marco Stringa

In Finance

1. Prasanna Gai
2. S. Kapadia
3. Claus Puhr
4. Laxmi Koju
5. Ram Koju
6. Shouyang Wang
7. Steffen Sørensen
8. Nada Mora

Citations in the corpus

• Macroeconomic and Bank-Specific Determinants of Non-Performing Loans: Evidence from Nepalese Banking System (2018, result): “The lagged non-performing loans show positive significant correlation in all the models, which is in contrast to the results found by Sorge and Virolainen (2006) and Louzis et al. (2012) in their panel of the Finnish banking system and the Greek banking system, respectively.”
• The determinants of non-performing loans: an econometric case study of Guyana (2009, unknown): “…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…”
• 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…”
• The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application (2010, methodology): “Following the initiation of the Financial Stability Assessment Programmes by the IMF and the World Bank in 1999, macro stress tests have become a central tool for assessing the vulnerability of banking systems (see Sorge and Virolainen, 2006).”
• Towards a Framework for Quantifying Systemic Stability (2012, background): “The link between macroeconomic factors and default probabilities can be formalized in two ways (see Sorge and Virolainen 2006 ).”