Latent fragility: Conditioning banks' joint probability of default on the financial cycle
Journal of International Money and Finance, 146, 103107
Latent Fragility: Conditioning Banks' Joint Probability of Default on the Financial Cycle
We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic risk. In this framework, banking...
Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses
We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential...
A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (SyRIN)
This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification...
Macroprudential stress tests
Current stress testing of banks is focused on the resiliency of individual banks to exogenous shocks. This column describes how the next generation of...
Macroprudential Stress Tests and Policies: Stretching for Robust and Implementable Frameworks
Non-supervisory bank stress testing is becoming firmly embedded in the post-crisis macroprudential frameworks of major financial sectors around the...
Consistent Measures of Systemic Risk
This paper presents a methodology to infer multivariate densities that characterize the asset values for a system of financial institutions, and...
Banking stability measures
The recent crisis underlined that proper estimation of distress-dependence amongst banks in a global system is essential for financial stability...
Consistent information multivariate density optimizing methodology
The estimation of the profit and loss distribution of a loan portfolio requires the modelling of the portfolio’s multivariate distribution. This...
Conditional probability of default methodology
This paper presents the Conditional Probability of Default (CoPoD) methodology for modelling the probabilities of loan defaults (PoDs) by small and...
Basel and procyclicality: a comparison of the standardised and IRB approaches to an improved credit risk method
Our procedure here is to try to reconstruct a typical bank portfolio for a country and then, holding the presumed loan book unchanged over time, (i.e...
