Stresstest des Bankensektors

Seit über einer Woche sind die Ergebnisse der Stresstests der europäischen Bankenaufsichtsbehörde CEBS bekannt.

Was sind Stresstests und welche Methoden gibt es?

Wir haben Ihnen hier aus unserer Datenbank ECONIS einige allgemeine und auch speziellere wirtschaftswissenschaftliche Titel zum Bankenstresstest zusammengestellt.

Literaturliste

Risikomanagement und Frühwarnverfahren in Kreditinstituten : aktuelle Anforderungen, Instrumente, Prüfung / von Ulrich Bantleon und Axel Becker.

  • (2010) Berlin; 560 S.
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  • Bedeutung von Stresstests / Andreas Bühner; André Dicken; Ines Wenner.
    (2010) In: Risikomanagement und Frühwarnverfahren in Kreditinstituten. – 2010, S. 127-143.

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Stress-testing the banking system : methodologies and applications / ed. by Mario Quagliariello.

  • Stress-testing the banking system : methodologies and applications / ed. by Mario Quagliariello.
    (2009) Cambridge [u.a.]; XXII, 329 S.

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Stress testing credit risk : a survey of authorities’ approaches / by Antonella Foglia.

  • Stress testing credit risk : a survey of authorities’ approaches / by Antonella Foglia.
    (2008 [erschienen 2009]) Roma; 24 S.

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Principles for sound stress testing practices and supervision : [final paper] / Basel Committee on Banking Supervision.

  • Principles for sound stress testing practices and supervision : [final paper] / Basel Committee on Banking Supervision.
    (2009) May 2009. – Basel; 20 S.

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Stress-testing at the IMF / Marina Moretti, Stéphanie Stolz and Mark Swinburne.

  • Stress-testing at the IMF / Marina Moretti, Stéphanie Stolz and Mark Swinburne.
    (2009) In: Stress-testing the banking system. – Cambridge [u.a.]. – 2009, S. 297-317.

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How to find plausible, severe, and useful stress scenarios / Thomas Breuer, Martin Jandacka, Klaus Rheinberger and Martin Summer.
Literaturverz. S. 16 – 17

  • How to find plausible, severe, and useful stress scenarios / Thomas Breuer, Martin Jandacka, Klaus Rheinberger and Martin Summer.
    ([2009]) Working paper / Österreichische Nationalbank ; 150; 22 S.

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Detecting and interpreting financial stress in the euro area / by Marianna Blix Grimaldi.
There is a need to find better models and indicators for large disruptive events, not least in order to be more prepared and mitigate their effects. In this paper we take a step in this direction and discuss the performance of a financial stress indicator with a specific focus on the euro area. As far as we know, our indicator is the first attempt to develop an indicator of financial stress with a specific focus on the euro area. It is also the first to exploit the information contained in central bank communication to help measure stress in financial markets. For use in real time, the indicator is able to efficiently extract information from an otherwise noisy signal and provide information about the level of stress in the markets. – Financial stress ; central bank communication ; logit distribution ; leading indicator ; behavioural finance

  • Detecting and interpreting financial stress in the euro area / by Marianna Blix Grimaldi.
    (2010) Working paper series / European Central Bank ; 1214; Online-Ressource, (64 S., 1,96 MB).

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Stress testing German banks in a downturn in the automobile industry / Klaus Düllmann; Martin Erdelmeier.
In this paper we stress-test credit portfolios of 28 German banks based on a Mertontype multi-factor credit risk model. The ad-hoc stress scenario is an economic downturn in the automobile industry that constitutes an exceptional but plausible event suggested by historical data. Rather than on a particular stress forecast, the focus of the paper is on the main drivers of the stress impact on banks’ credit portfolios. Although the percentage of loans in the automobile sector is relatively low for all banks in the sample, the expected loss conditional on the stress event increases substantially by 70%-80% for the total portfolio. This result confirms the need to account for hidden sectoral concentration risk because the increase in expected loss is driven mainly by correlation effects with related industry sectors. Therefore, credit risk dependencies between sectors have to be adequately captured even if the trigger event is confined to a single sector. Finally, we calculate the impact on banks’ own funds ratios. The main results are robust against various robustness checks, namely those concerning the granularity of the credit portfolio, the level of inter-sector asset correlations, and a cross-sectional variation of intra-sector asset correlations. — Asset correlation ; portfolio credit risk ; stress test ; sectoral credit concentration

  • Stress testing German banks in a downturn in the automobile industry / Klaus Düllmann; Martin Erdelmeier.
    (2009) Discussion paper / Deutsche Bundesbank; Eurosystem : Ser. 2, Banking and financial studies; 39 S.

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  • Stress testing German banks in a downturn in the automobile industry / Klaus Düllmann; Martin Erdelmeier.
    (2009) Discussion paper / Deutsche Bundesbank : Series 2, Banking and financial studies; Online-Ressource (PDF-Datei: 39 S., 382 KB).

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How resilient is the German banking system to macroeconomic shocks? / By Jonas Dovern, Carsten-Patrick Meier, and Johannes Vilsmeier.
Macro-stress testing studies often rely on rather short sample periods due to the limited availability of banking data. They may fail to appropriately account for the cyclicality in the interaction between the banking system and macroeconomic developments. In this paper we use a newly constructed data set on German banks’ income and loss statements over the past 36 years to model the interaction between the banking sector and the macroeconomy. Our identified-VAR analysis indicates that the level of stress in the banking sector is strongly affected by monetary policy shocks. The results rationalize the active behavior of central banks observed during periods of financial market crises. — Stress testing ; banking ; VAR

  • How resilient is the German banking system to macroeconomic shocks? / By Jonas Dovern, Carsten-Patrick Meier, and Johannes Vilsmeier.
    (May 2008) Kiel working paper ; 1419; Online-Ressource, 21 S., Text.

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Liquidity stress-tester : a model for stress-testing banks’ liquidity risk / Jan Willem van den End.
This article presents a stress-testing model for liquidity risks of banks. It takes into account the first- and second-round (feedback) effects of shocks, induced by reactions of heterogeneous banks, and reputation effects. The impact on liquidity buffers and the probability of a liquidity shortfall is simulated by a Monte Carlo approach. An application to Dutch banks illustrates that the second-round effects in specific scenarios could have more impact than the first-round effects and hit all types of banks, indicative of systemic risk. This lends support policy initiatives to enhance banks’ liquidity buffers and liquidity risk management, which could also contribute to prevent financial stability risks.

  • Liquidity stress-tester : a model for stress-testing banks’ liquidity risk / Jan Willem van den End.
    (2009) In: CESifo economic studies. – Bd. 56.2010, 1, (Mar.2010) S. 38-69.

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  • Liquidity stress-tester : a macro model for stress-testing banks’ liquidity risk / Jan Willem van den End.
    (2008) Amsterdam; 23 S.

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Risikomanagement : Stresstest in Banken / Christoph Kaminsky; Natalja Kuzmenkova; Oliver Kuklok.

  • Risikomanagement : Stresstest in Banken / Christoph Kaminsky; Natalja Kuzmenkova; Oliver Kuklok.
    (2007) In: Die Bank. – Köln. – Bd. 2007,11, (Nov.2007) S. 49-51.

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Einbindung von Stresstests in das Risikomanagement : Stresstests als Bestandteil des Risikomanagements, Teil 2 / Christoph Kaminsky, Natalja Kuzmenkova, Oliver Kuklok.

  • Einbindung von Stresstests in das Risikomanagement : Stresstests als Bestandteil des Risikomanagements, Teil 2 / Christoph Kaminsky, Natalja Kuzmenkova, Oliver Kuklok.
    (2007) In: Risiko-Manager. – Köln. – Bd. 2007,16, (8.Aug.2007) S. 14-16.

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Risikokonzentrationen und Stresstests : ein integrierter Ansatz ; Novelle der MaRisk / Frank Schlottmann; Stephan Vorgrimler.

  • Risikokonzentrationen und Stresstests : ein integrierter Ansatz ; Novelle der MaRisk / Frank Schlottmann; Stephan Vorgrimler.
    (2009) In: Risiko-Manager. – Köln. – Bd. 2009,25/26, (10.Dez.2009) S. 36-44.

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Unternehmensindividuelle Stresstests als Konsequenz aus der Finanzmarktkrise : Stressszenarien / Jonas Andrulis, Andreas Mitschele, Frank Schlottmann und Thomas Schmidt.

  • Unternehmensindividuelle Stresstests als Konsequenz aus der Finanzmarktkrise : Stressszenarien / Jonas Andrulis, Andreas Mitschele, Frank Schlottmann und Thomas Schmidt.
    (2009) In: Risiko-Manager. – Köln. – Bd. 2009,10, (14.Mai.2009) S. 1,8-11.

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The integrated impact of credit and interest rate risk on banks : a dynamic framework and stress testing application / Mathias Drehmann; Steffen Sorensen; Marco Stringa.

  • The integrated impact of credit and interest rate risk on banks : a dynamic framework and stress testing application / Mathias Drehmann; Steffen Sorensen; Marco Stringa.
    (2010) In: Journal of banking & finance. – Amsterdam [u.a.]. – Bd. 34.2010, 4, (Apr.2010) S. 713-729.

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Stresstests im Kreditrisikomanagement : neue Herausforderungen für Banken / Oliver Krahl; Jörg Wagner.

  • Stresstests im Kreditrisikomanagement : neue Herausforderungen für Banken / Oliver Krahl; Jörg Wagner.
    (2007) In: Zeitschrift für das gesamte Kreditwesen. – Frankfurt, M.. – Bd. 60.2007, 21, (1.Nov.2007) S. 1155-1158.

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Reverse Stresstests : Stress-Kenzahlen für die praktische Banksteuerung / Jörg Drüen; Sascha Florin.

  • Reverse Stresstests : Stress-Kenzahlen für die praktische Banksteuerung / Jörg Drüen; Sascha Florin.
    (2010) In: Risiko-Manager. – Köln. – Bd. 2010,10, (13.Mai.2010) S. 1,6-9.

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Makroökonomische Stresstests in Banken : Auswirkungen von Stress-Ergebnissen auf die Eigenkapitalanforderungen / Andreas Bühn; Jana Richter.

  • Makroökonomische Stresstests in Banken : Auswirkungen von Stress-Ergebnissen auf die Eigenkapitalanforderungen / Andreas Bühn; Jana Richter.
    (2007) In: Risiko-Manager. – Köln. – Bd. 2007,23, (14.Nov.2007) S. 12-16.

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Stresstests : kritische Analyse der Anforderungen in den neuen MaRisk und Modellierung eines Prototypen / Svend Reuse; Martin Svoboda.

  • Stresstests : kritische Analyse der Anforderungen in den neuen MaRisk und Modellierung eines Prototypen / Svend Reuse; Martin Svoboda.
    (2010) In: Bank-Praktiker. – Heidelberg. – Bd. 2010,3, S. 65-70.

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Liquiditätsrisikomanagement : empirische Ergebnisse zu Stresstesting und Refinanzierung / Daniel Kaltofen.

  • Liquiditätsrisikomanagement : empirische Ergebnisse zu Stresstesting und Refinanzierung / Daniel Kaltofen.
    (2010) In: Zeitschrift für das gesamte Kreditwesen. – Frankfurt, M.. – Bd. 63.2010, 3, (1.Feb.2010) S. 135-139.

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Credit risk measurement in and out of the financial crisis : new approaches to value at risk and other paradigms / Anthony Saunders, Linda Allen.

  • Credit risk measurement in and out of the financial crisis : new approaches to value at risk and other paradigms / Anthony Saunders, Linda Allen.
    (c 2010) 3. ed. – Wiley finance series. – Hoboken, NJ; XVI, 380 S.

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Stresstesting von Liquiditätsrisiken : Fallstudie / Georg von Pföstl.

Fundamentals of futures and options markets / John C. Hull.

  • Fundamentals of futures and options markets / John C. Hull.
    (c 2011) 7. ed., global ed. – Boston, Mass. [u.a.]; XIX, 602 S.

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  • Risk management and financial institutions / John C. Hull.
    (c 2010) 2. ed., internat. ed. – Boston [u.a.]; XVII, 556 S.

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  • Options, futures, and other derivatives / John C. Hull.
    (c 2009) 7. ed. – The Prentice Hall series in finance. – Upper Saddle River, NJ; XXII, 822 S.

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  • Risk management and financial institutions / John Hull.
    (c2007) International ed. – Upper Saddle River, NJ; XVI, 500 S.

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  • Risk management and financial institutions / John Hull.
    (2007) Upper Saddle River, NJ; XVI, 500 S.

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Mehrjährige makroökonomische Stresstests : ein ökonometrischer Ansatz ; Stressszenarien im Bankenportfolio / Alfred Hamerle; Rainer Jobst; Matthias Lerner.

  • Mehrjährige makroökonomische Stresstests : ein ökonometrischer Ansatz ; Stressszenarien im Bankenportfolio / Alfred Hamerle; Rainer Jobst; Matthias Lerner.
    (2008) In: Risiko-Manager. – Köln. – Bd. 2008,9, (30.Apr.2008) S. 1,8-15.

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Macro stress tests and crises : what can we learn? / Rodrigo Alfaro; Mathias Drehmann.

Towards a macroprudential surveillance and remedial policy formulation system for monitoring financial crisis / Biswa N. Bhattacharyay.
Several developing economies witnessed a large number of systemic financial and currency crises since the 1980s which resulted in severe economic, social, and political problems. The devastating impact of the 1982 and 1994-95 Mexican crises, the 1997-98 Asian financial crisis, the 1998 Russian crisis and the ongoing financial crisis of 2008-2009 suggest that maintaining financial sector stability through reduction of vulnerability is highly crucial. The world is now witnessing an unprecedented systemic financial crisis originated from USA in September 2008 together with a deep worldwide economic recession, particularly in developed countries of Europe and North America. This calls for devising and using on a regular basis an appropriate and effective monitoring and policy formulation system for detecting and addressing vulnerabilities leading to crisis. This paper proposes a macroprudential/financial soundness monitoring, analysis and remedial policy formulation system that can be used by most developing countries with or without crisis experience as well as developed countries with limited data. It also discusses a process for identifying, and compiling a set of leading macroprudential indicators/financial soundness indicators. An empirical illustration using Philippines data is presented.

  • Towards a macroprudential surveillance and remedial policy formulation system for monitoring financial crisis / Biswa N. Bhattacharyay.
    (2009) CESifo working paper series ; 2803 : Monetary policy and international finance; 38 S.

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  • Towards a macroprudential surveillance and remedial policy formulation system for monitoring financial crisis / Biswa N. Bhattacharyay.
    (2009) CESifo working paper ; 2803 : Monetary Policy and International Finance; Online-Ressource ( 38 S.).

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A network model of systemic risk : stress testing the banking system / Javier Márquez Diez Canedo and Serafín Martínez Jaramillo.

  • A network model of systemic risk : stress testing the banking system / Javier Márquez Diez Canedo and Serafín Martínez Jaramillo.
    (2009) In: Intelligent systems in accounting finance and management. – Chichester. – Bd. 16.2009, 1/2, (1/6.2009) S. 87-110.

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Risikomanagement und kapitalmarktorientierte Finanzierung : Festschrift zum 65. Geburtstag von Bernd Rudolph / hrsg. von Klaus Schäfer ….

  • (2009) Frankfurt am Main; XXVIII, 1076 S.
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  • Stress Testing im Kontext des Internal Capital Adequacy Assessment Process (ICAAP) / Christian Annetzberger und Philipp Gann.
    (2009) In: Risikomanagement und kapitalmarktorientierte Finanzierung. – 2009, S. 473-494.

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Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks / by Olli Castrén, Trevor Fitzpatrick and Matthias Sydow.
In terms of regulatory and economic capital, credit risk is the most significant risk faced by banks. We implement a credit risk model – based on publicly available information . with the aim of developing a tool to monitor credit risk in a sample of large and complex banking groups (LCBGs) in the EU. The results indicate varying credit risk profiles across these LCBGs and over time. Furthermore, the results show that large negative shocks to real GDP have the largest impact on the credit risk profiles of banks in the sample. Notwithstanding some caveats, the results demonstrate the potential value of this approach for monitoring financial stability. — Portfolio credit risk measurement ; stress testing ; macro-economic shock measurement

  • Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks / by Olli Castrén, Trevor Fitzpatrick and Matthias Sydow.
    (2009) Working paper series / European Central Bank ; 1002; Online-Ressource, (36 S., 1,81 MB).

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Analyzing banking risk : a framework for assessing corporate governance and risk management / Hennie van Greuning; Sonja Brajovic Bratanovic.

  • Analyzing banking risk : a framework for assessing corporate governance and risk management / Hennie van Greuning; Sonja Brajovic Bratanovic.
    (2009) 3. ed. – Washington, D.C.; XIV, 422 S.

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  • Analyzing and managing banking risk : a framework for assessing corporate governance and financial risk / Hennie Van Greuning and Sonja Brajovic Bratanovic.
    (2003) 2. ed. – Washington, DC; XVI, 367 S.

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  • Analyzing banking risk : a framework for assessing corporate governance and financial risk management / Hennie van Greuning, Sonja Brajovic Bratanovic.
    (2000) Washington, D.C; xv, 289 p.

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  • Analyzing banking risk : a framework for assessing corporate governance and financial risk management / Hennie van Greuning; Sonja Brajovic Bratanovic.
    (1999) Washington, DC; XV, 289 S.

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Foundations of banking risk : an overview of banking, banking risks, and risk-based banking regulation / Richard Apostolik; Christopher Donohue; Peter Went.

  • Foundations of banking risk : an overview of banking, banking risks, and risk-based banking regulation / Richard Apostolik; Christopher Donohue; Peter Went.
    (c 2009) Wiley finance; XIII, 249 S.

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Developing a stress testing framework based on market risk models / Carol Alexander; Elizabeth Sheedy.

  • Developing a stress testing framework based on market risk models / Carol Alexander; Elizabeth Sheedy.
    (2008) In: Journal of banking & finance. – Amsterdam [u.a.]. – Bd. 32.2008, 10, (Okt.2008) S. 2220-2236.

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Stress testing of real credit portfolios / Ferdinand Mager; Christian Schmieder.

  • Stress testing of real credit portfolios / Ferdinand Mager; Christian Schmieder.
    (08 Sept. 2008) Discussion paper / Deutsche Bundesbank : Series 2, Banking and financial studies; Online-Ressource (PDF-Datei: 23 S., 527 KB).

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  • Stress testing of real credit portfolios / Ferdinand Mager; Christian Schmieder.
    (2008) Discussion paper / Deutsche Bundesbank : Series 2, Banking and financial Studies; 32 S.

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Macro-model-based stress testing of Basel II capital requirements / Esa Jokivuolle; Kimmo Virolainen; Oskari Vähämaa.

  • Macro-model-based stress testing of Basel II capital requirements / Esa Jokivuolle; Kimmo Virolainen; Oskari Vähämaa.
    (2008) Bank of Finland research discussion papers ; 2008,17; Online-Ressource, 27 S. = 1,33 MB, Text.

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Macro stress testing with sector specific bankruptcy models / Marianna Valentiny-Endrész; Zoltán Vásáry.
This paper employs the methodology of Wilson (1997) on Hungarian data to conduct a macro stress test in relation to banks’ corporate loan portfolio. First, sector specific models of bankruptcy are estimated, where the bankruptcy frequency is linked to the general health of the economy. Data on bankruptcy filings in Hungary between 1995 and 2005 are used. Then, after identifying relevant shocks, the estimated models are employed in Monte Carlo simulation to conduct a stress test on the Hungarian banking sector. Various loss measures are defined to quantify the impact of shocks and evaluate the resilience of the Hungarian banking sector. The sensitivity of the stress test results to the endogeneity of LGD and the prevailing macro environment are also examined. — Credit risk ; bankruptcy ; macro stress testing

  • Macro stress testing with sector specific bankruptcy models / Marianna Valentiny-Endrész; Zoltán Vásáry.
    (2008) Budapest; Online-Ressource (34 S.).

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A suite-of-models approach to stress-testing financial stability / by Henrik Andersen, Tor O. Berge, Eivind Bernhardsen, Kjersti-Gro Lindqvist and Kjersti-Gro Lindqvist.

  • A suite-of-models approach to stress-testing financial stability / by Henrik Andersen, Tor O. Berge, Eivind Bernhardsen, Kjersti-Gro Lindqvist and Kjersti-Gro Lindqvist.
    (2008) Staff memo / Norges Bank ; 2008,2; Online-Ressource, 50 S. = 289 KB, text.

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Stress tests and their contribution to financial stability / Antonio Marcelo, Adolfo Rodríguez and Carlos Trucharte.

  • Stress tests and their contribution to financial stability / Antonio Marcelo, Adolfo Rodríguez and Carlos Trucharte.
    (2008) In: Journal of banking regulation. – Basingstoke. – Bd. 9.2008, 2, (Feb.2008) S. 65-81.

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Wesentliches Schlagwort: Kreditrisiko

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Wesentliches Schlagwort: Risikomanagement

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Regionale Aspekte: Deutschland – Risikomanagement

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