How to Capture Macro-Financial Spillover Effects in Stress Tests?:
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| 100 | 1 | |a Hesse, Heiko |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a How to Capture Macro-Financial Spillover Effects in Stress Tests? |c Hesse, Heiko |
| 264 | 1 | |a Washington, D.C |b International Monetary Fund |c 2014 | |
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| 520 | 3 | |a One of the challenges of financial stability analysis and bank stress testing is how to establish scenarios with meaningful macro-financial linkages, i.e., taking into account spillover effects and other forms of contagion. We come up with an approach to simulate the potential impact of spillover effects based on the "traditional" design of macro-economic stress tests. Specifically, we examine spillover effects observed during the financial crisis and simulate their impact on banks' liquidity and capital positions. The outcome suggests that spillover effects have a highly non-linear impact on bank soundness, both in terms of liquidity and solvency | |
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| id | DE-604.BV048354834 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T19:42:29Z |
| institution | BVB |
| isbn | 1498379087 9781498379083 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-033734102 |
| oclc_num | 1337137595 |
| open_access_boolean | |
| owner | DE-20 DE-824 DE-70 DE-155 DE-BY-UBR DE-29 DE-22 DE-BY-UBG DE-473 DE-BY-UBG DE-1102 DE-703 DE-859 DE-706 DE-384 DE-860 DE-19 DE-BY-UBM DE-739 DE-355 DE-BY-UBR DE-Aug4 DE-1049 DE-12 DE-91 DE-BY-TUM |
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| physical | 1 Online-Ressource (34 p) |
| psigel | ZDB-1-IMF |
| publishDate | 2014 |
| publishDateSearch | 2014 |
| publishDateSort | 2014 |
| publisher | International Monetary Fund |
| record_format | marc |
| series2 | IMF Working Papers |
| spellingShingle | Hesse, Heiko How to Capture Macro-Financial Spillover Effects in Stress Tests? |
| title | How to Capture Macro-Financial Spillover Effects in Stress Tests? |
| title_auth | How to Capture Macro-Financial Spillover Effects in Stress Tests? |
| title_exact_search | How to Capture Macro-Financial Spillover Effects in Stress Tests? |
| title_full | How to Capture Macro-Financial Spillover Effects in Stress Tests? Hesse, Heiko |
| title_fullStr | How to Capture Macro-Financial Spillover Effects in Stress Tests? Hesse, Heiko |
| title_full_unstemmed | How to Capture Macro-Financial Spillover Effects in Stress Tests? Hesse, Heiko |
| title_short | How to Capture Macro-Financial Spillover Effects in Stress Tests? |
| title_sort | how to capture macro financial spillover effects in stress tests |
| url | http://elibrary.imf.org/view/IMF001/21409-9781498379083/21409-9781498379083/21409-9781498379083.xml |
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