Ben Rump

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

  • Board of Governors of the Federal Reserve System

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Stress-Testing U.S. Bank Holding Companies: A Dynamic Panel Quantile Regression Approach

International Journal of Forecasting, Forthcoming, FEDS Working Paper No. 2013-55
Number of pages: 44 Posted: 01 Nov 2013
Francisco Covas, Ben Rump and Egon Zakrajsek
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
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Citation 13

Abstract:

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Macroprudential regulation, stress tests, capital shortfalls, density forecasting, quantile autoregression, panel data