Martin Indergand

Swiss National Bank - Financial Stability

Boersenstrasse 15

Zurich, CH-8022

Switzerland

  • Swiss National Bank - Financial Stability

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Measuring and Stress-Testing Market-Implied Bank Capital

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Measuring and Stress-Testing Market-Implied Bank Capital

Swiss Finance Institute Research Paper No. 22-11
Number of pages: 55 Posted: 28 Aug 2021 Last Revised: 26 Jan 2022
Martin Indergand, Eric Jondeau and Andreas Fuster
Swiss National Bank - Financial Stability, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Ecole Polytechnique Fédérale de Lausanne
Downloads 83 (411,010)

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Banking, Capital, Stress Test, Systemic Risk, Multifactor Model

Measuring and stress-testing market-implied bank capital

Swiss National Bank Working Paper No. 2/2022
Number of pages: 57 Posted: 02 Feb 2022 Last Revised: 09 Feb 2022
Andreas Fuster, Eric Jondeau and Martin Indergand
Ecole Polytechnique Fédérale de Lausanne, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Swiss National Bank - Financial Stability
Downloads 25 (683,929)

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Banking, Capital, Stress Test, Systemic Risk, Multifactor Model