Macroprudential Stress Tests : a Reduced-Form Approach to Quantifying Systemic Risk Losses /
We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential stress testing. SE losses are measured using a reduced-form model to value financial entity assets, conditional on macroeconomic stress and the distre...
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| Other Authors: | , |
| Format: | Book |
| Language: | English |
| Published: |
Washington, D.C. :
International Monetary Fund,
2018
Washington, D.C. : 2018 [Place of publication not identified] : 2018 |
| Series: | IMF Working Papers; Working Paper ;
No. 18/49 IMF Working Papers; Working Paper ; no. 18/49 IMF eLibrary |
| Subjects: |