Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights
By V. Acharya, Robert F. Engle, Diane Pierret. 2014
272 citations recorded by the source corpus.
Subfields: Complementary and alternative medicine, Surgery
View Paper: https://www.semanticscholar.org/paper/5e36192cb5745a45bf338a63aaf1c8b7269caec9
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In Complementary and alternative medicine
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Citations in the corpus
- Stress scenario selection by empirical likelihood (2015, methodology): “Acharya et al. (2013) use marginal shortfall measures to evaluate regulatory stress tests.”
- Bank Specific and Macroeconomics Dynamic Determinants of Credit Risk in Islamic Banks and Conventional Banks (2015, background): “Ahmad and Ahmad (2004) Ahmad and Mohamed (2007) suggest that large risky portfolio contribute to higher risk which is consistent to moral hazard hypothesis as conventional banks capital are relatively lower compared to Islamic banks despite of higher credit risk. Beltratti and Paladino (2013) their ”
- Pro-Cyclical Capital Regulation and Lending (2016, unknown): “Recent academic contributions include Kashyap, Rajan, and Stein (2008), Brunnermeier, Goodhart, Persaud, Crockett, and Shin (2009), Hellwig (2010), Hanson, Kashyap, and Stein (2011), Acharya, Mehran, Schuermann, and Thakor (2012), and Acharya, Engle, and Pierret (2014).”
- The 'Greatest' Carry Trade Ever? Understanding Eurozone Bank Risks (2013, unknown): “Our paper relates more broadly to the literature on the effects of credit supply on the sovereign debt crisis (Popov and van Horen, 2013; Acharya et al., 2014; Becker and Ivashina, 8 The theoretical literature supports the interpretation as to agency costs (e.g., Jensen and Meckling, 1976; Furlong…”
- Crisis-Related Shifts in the Market Valuation of Banking Activities (2012, unknown): “Recent research has pointed toward market values as useful indicators of bank fragility, and shown that such measures can lead to dramatically different conclusions about capital adequacy (Acharya et al., 2013; Acharya and Steffen, 2013).”
- Syndication, Interconnectedness, and Systemic Risk (2018, background): “These measures capture asset price as 56 well as funding liquidity risks associated with interconnectedness using market data (Acharya et al., 2014).”