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Integration of credit risk and interest rate risk, asset and liability management of banks, economic value, stress testing
financial cycle, business cycle, credit, asset prices, financial crises, medium-term
countercyclical capital buffers, financial stability, procyclicality
financial (in)stability, risk measurement, macroprudential, procyclicality
funding liquidity, liquidity risk, bidding data, money market auctions, interbank markets
Funding Liquidity, Liquidity Risk, Bidding Behavior, Central Bank Auctions, Interbank Markets
Bank runs, contagion, investment behaviour of banks, deposit insurance, systematic banking crisis
Economic capital, risk management, credit risk, interest rate risk, asset and liability management
stress tests, financial instability, macroprudential
Systemic risk, Shapley values, Interbank positions
Economic Capital, Risk Management, Credit Risk, Interest Rate Risk, Asset And Liability Management
Information cascades, herding, network effects, reputation, experiment, internet
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Information cascades, herding, network effects, experiment, internet
early warning indicators; credit gaps; HP filter
EWIs, ROC, area under the curve, macroprudential policy
natural interest rate, financial cycle, monetary policy, credit, business cycle
business cycle, credit boom, leverage, debt service burden, financial-real interactions, financial stability
financial cycle, term spread, recession risk, panel probit mode
new borrowing, debt service, financial cycle, real-financial linkages
Systemic risk, funding liquidity risk, contagion, stress testing
new borrowing, debt service, financial cycle, financial flows and real effects
HP Filter, Holt-Winters Filter, Credit Cycle
