IMF offers fresh perspective on stress testing
In a paper titled 'From Stress to CoStress: Stress Testing Interconnected Banking Systems', two International Monetary Fund researchers present an integrated framework for assessing systemic risk.
Rodolfo Maino and Kalin Tintchev describe a framework that models banks' capital asset ratios as a function of future losses and credit growth using a generalised method of moments to calibrate shocks to credit quality and credit growth.
The paper advances a simple framework to integrate systemic risk
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