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 Federal Reserve Board - Division of Monetary Affairs
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Citation 11

Abstract:

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