Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise

DOI10.1007/S10436-017-0294-ZzbMath1411.91647OpenAlexW3125435088MaRDI QIDQ1680700

Chiara Pederzoli, Costanza Torricelli

Publication date: 16 November 2017

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11380/1197707

zbMATH Keywords

systemic riskstress testmacroprudential regulationMESF-MES

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Related Items (2)

Systemic risk in Europe: deciphering leading measures, common patterns and real effects ⋮ Proper measures of connectedness

Cites Work

• Necessary and sufficient conditions in the problem of D-optimal weighing designs with autocorrelated errors
• Where the Risks Lie: A Survey on Systemic Risk*

This page was built for publication: Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise