Stress-Testing Macro Stress Testing: Does it Live Up to Expectations?

By C. Borio, Mathias Drehmann, Kostas Tsatsaronis. 2012

304 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/5874bc9310db00bd25bff343f1ecd8b7f9426496

Citations in the corpus

• Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights (2014, unknown): “Scenarios The design of robust and coherent scenarios has been an important topic of the stress testing literature (Breuer et al. (2009); Flood and Korenko (2013); Glasserman et al.”
• Stress scenario selection by empirical likelihood (2015, unknown): “[6] provide a critical review of current practice.”