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How to Capture Macro-Financial Spillover Effects in Stress Tests?1

How to Capture Macro-Financial Spillover Effects in Stress Tests?1 »

Source: How to Capture Macro-Financial Spillover Effects in Stress Tests?

Volume/Issue: 2014/103

Series: IMF Working Papers

Author(s): Heiko Hesse , Ferhan Salman , and Christian Schmieder

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 June 2014

ISBN: 9781498379083

Keywords: Macro-financial linkages, Scenarios, Spillover, Contagion, bonds, national bank, banks ’; solvency, banking, bank solvency, General Outlook and Conditions

One of the challenges of financial stability analysis and bank stress testing is how to establish scenarios with meaningful macro-financial linkages, i.e., taking into account spillover effects and other forms of c...

How to Capture Macro-Financial Spillover Effects in Stress Tests?

How to Capture Macro-Financial Spillover Effects in Stress Tests? »

Volume/Issue: 2014/103

Series: IMF Working Papers

Author(s): Heiko Hesse , Ferhan Salman , and Christian Schmieder

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 June 2014

DOI: http://dx.doi.org/10.5089/9781498379083.001

ISBN: 9781498379083

Keywords: Macro-financial linkages, Scenarios, Spillover, Contagion, bonds, national bank, banks ’; solvency, banking, bank solvency, General Outlook and Conditions

One of the challenges of financial stability analysis and bank stress testing is how to establish scenarios with meaningful macro-financial linkages, i.e., taking into account spillover effects and other forms of c...