کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
998584 936681 2006 39 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A comparative analysis of macro stress-testing methodologies with application to Finland
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد، اقتصادسنجی و مالیه (عمومی)
پیش نمایش صفحه اول مقاله
A comparative analysis of macro stress-testing methodologies with application to Finland
چکیده انگلیسی

This paper reviews the state-of-the-art of macro stress-testing methodologies. We assess the progress made both in the econometric analysis of balance sheet indicators and in the simulation of value-at-risk measures to assess system-wide vulnerabilities. To illustrate the main analytical approaches in the literature, we estimate two different models for stress-testing purposes using data for Finland over the time period from 1986 to 2003. The Finnish experience in the early 1990s appears particularly suited for macro stress-testing as it includes a severe recession with significantly higher-than-average default rates and banks’ loan losses. We highlight a number of methodological challenges that still remain concerning in particular the correlation of market and credit risks over time and across institutions, the limited time horizon generally used for macro stress-testing and the potential instability of reduced-form parameter estimates because of feedback effects.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Stability - Volume 2, Issue 2, June 2006, Pages 113–151
نویسندگان
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