Reverse stress testing: Scenario design for macroprudential stress tests (Q6054451): Difference between revisions

@@ Property / DOI @@
-.1111/mafi.12373
@@ Property / DOI: 10.1111/mafi.12373 / rank @@
-Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1111/mafi.12373
+Normal rank
@@ Property / OpenAlex ID @@
+W4319299014
@@ Property / OpenAlex ID: W4319299014 / rank @@
+Normal rank
@@ Property / cites work @@
+Uniqueness of equilibrium in a payment system with liquidation costs
+Normal rank
@@ Property / cites work @@
+Price mediated contagion through capital ratio requirements with VWAP liquidation prices
+Normal rank
@@ Property / cites work @@
+A repo model of fire sales with VWAP and LOB pricing mechanisms
+Normal rank
@@ Property / cites work @@
+Risk-Based Capital Requirements and Optimal Liquidation in a Stress Scenario*
+Normal rank
@@ Property / cites work @@
+Strategic fire-sales and price-mediated contagion in the banking system
+Normal rank
@@ Property / cites work @@
+Overlapping portfolios, contagion, and financial stability
+Normal rank
@@ Property / cites work @@
+RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS
+Normal rank
@@ Property / cites work @@
+FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK
@@ Property / cites work: FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK / rank @@
+Normal rank
@@ Property / cites work @@
+Financial contagion and asset liquidation strategies
+Normal rank
@@ Property / cites work @@
+Systematic scenario selection: stress testing and the nature of uncertainty
+Normal rank
@@ Property / cites work @@
+No-dynamic-arbitrage and market impact
@@ Property / cites work: No-dynamic-arbitrage and market impact / rank @@
+Normal rank
@@ Property / cites work @@
+Stress scenario selection by empirical likelihood
@@ Property / cites work: Stress scenario selection by empirical likelihood / rank @@
+Normal rank
@@ Property / cites work @@
+The topology of overlapping portfolio networks
@@ Property / cites work: The topology of overlapping portfolio networks / rank @@
+Normal rank
@@ Property / cites work @@
+Price Manipulation and Quasi-Arbitrage
@@ Property / cites work: Price Manipulation and Quasi-Arbitrage / rank @@
+Normal rank
@@ Property / cites work @@
+Combinatorial optimization. Theory and algorithms.
+Normal rank
@@ Property / cites work @@
+Convex Analysis
@@ Property / cites work: Convex Analysis / rank @@
+Normal rank
@@ Property / DOI @@
+.1111/MAFI.12373
@@ Property / DOI: 10.1111/MAFI.12373 / rank @@
+Normal rank