Stress Testing Credit Risk: A Survey of Authorities' Approaches

By Antonella Foglia. 2012

195 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/ccf9207f46a17ef26ff64cbca909feb05ef43bf7

How researchers see this paper

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

In Accounting

1. Claus Puhr
2. Sofoklis Vogiazas
3. Prasanna Gai
4. S. Kapadia
5. Nada Mora
6. E. Nikolaidou
7. Piergiorgio Alessandri

In Finance

1. Prasanna Gai
2. S. Kapadia
3. Claus Puhr
4. Sofoklis Vogiazas
5. Nada Mora
6. E. Nikolaidou
7. Piergiorgio Alessandri
8. Co-Pierre Georg

Citations in the corpus

• A Network Model of Financial System Resilience (2013, unknown): “Foglia (200 9) provides a detailed overview of systemic risk assessment models being developed by centr al banks. Cifuentes et.al (2005) and Morris and Shin (2009) o ffer analytical accounts of firesale e ffects and funding liquidity risk.”
• Funding Liquidity Risk in a Quantitative Model of Systemic Stability (2009, unknown): “on a bank’s balance sheet (see Borio and Drehmann (2009) and Foglia (2009) ).”
• Investigating the Determinants of Nonperforming Loans in the Romanian Banking System: An Empirical Study with Reference to the Greek Crisis (2011, background): “In this regard, variables such as economic growth, unemployment, interest rates, equity prices, and corporate bond spreads contribute to default risk [20].”
• Towards a Framework for Quantifying Systemic Stability (2012, methodology): “Because of this “story-telling” ability, many central banks use this type of framework as an input to their financial stability analysis (Borio and Drehmann 2009; Foglia 2009).”