Backtesting macroprudential stress tests

DOI10.1016/J.JEDC.2022.104333MaRDI QIDQ2136941zbMATH OpenOpenAlexFDO

Authors Amanah Ramadiah, Daniel Fricke, Fabio Caccioli

Publication date 16 May 2022

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/222940

zbMATH Keywords

backtestingcommon asset holdingsfire salessystemic risk

Mathematics Subject Classification ID

Financial networks (including contagion, systemic risk, regulation) (91G45)

Recommendations

• Reverse stress testing: Scenario design for macroprudential stress tests
• A proximity based macro stress testing framework
• Contagion accounting in stress-testing
• Distress and default contagion in financial networks
• Optimal stress tests and liquidation cost

Cites work

• Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
• Network models and financial stability
• Reconstructing and stress testing credit networks
• Risk assessment for banking systems
• Systemic risk in financial systems

Cited in

(5)

• Rejoinder: ``Elicitability and backtesting: perspectives for banking regulation
• Contagion accounting in stress-testing
• Reverse stress testing: Scenario design for macroprudential stress tests
• Quantitative reverse stress testing, bottom up
• A proximity based macro stress testing framework

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