Backtesting macroprudential stress tests

DOI10.1016/j.jedc.2022.104333zbMath1489.91303OpenAlexW4212866595MaRDI QIDQ2136941

Fabio Caccioli, Amanah Ramadiah, Daniel Fricke

Publication date: 16 May 2022

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/222940

zbMATH Keywords

systemic riskbacktestingfire salescommon asset holdings

Mathematics Subject Classification ID

Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

• Network models and financial stability
• Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
• Reconstructing and stress testing credit networks
• Systemic Risk in Financial Systems
• Risk Assessment for Banking Systems

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