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macro stress test, systemic risk, financial crisis, banking sector, macro-prudential policy, micro-prudential supervision
Portfolio credit risk measurement, stress testing, macroeconomic shock measurement
Bank stock return predictability, return decomposition, panel VAR estimation, cash flow news
climate finance, investment funds, stress testing, systemic risk
FX return prediction, investor flows, news surprises, panel estimation, stationary VAR
Basel III, communication, COVID-19 mitigation, economic activity, financial system model, impact assessment, lending, macro-financial scenarios, prudential policies, stress testing, uncertainty, Working Group on Stress Testing
fire sales, indirect contagion, overlapping portfolios, price impact, quantile regression
Bayesian model averaging, international capital flows, investment funds, portfolio valuation, prudential policy
House price, housing rental yield, return decomposition, panel VAR estimation, cash flow news
contagion, financial stability, fire sales, insurance companies, interconnectedness, stress test