Is credit expansion a sign of desirable financial deepening or the prelude to an inevitable bust? We study this question in modern US data using a structural VAR model of 10 monthly-frequency varia

ICPSR2021-01-01 更新60

Data for: Systematic Stress Tests on EBA data

金融压力测试

信用风险建模

1. Credit risk of a loan with one normal macroeconomic driver. 2. Credit risk of a loan with one lognormal macroeconomic driver. 3. Calculation of worst case scenario with two macroeconomic drivers on

NIAID Data Ecosystem30

Designing Stress Scenarios

金融压力测试

风险情景设计

We develop a tractable framework to study the optimal design of stress scenarios. A principal wants to manage the unknown risk exposures of a set of agents. She asks the agents to report their losses

NBER2022-04-01 更新80

Systemic Risk Exposures: A 10-by-10-by-10 Approach

系统性风险

金融压力测试

Here, I present and discuss a "10-by-10-by-10" network-based approach to monitoring systemic financial risk. Under this approach, a regulator would analyze the exposures of a core group of systemicall

NBER2011-08-01 更新60