Research on stress test of commercial banks based on SVAR model

zbMATH Open1399.91129MaRDI QIDQ3175730FDOQ3175730

Authors: Zhiquan He 

Publication date: 18 July 2018

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zbMATH Keywords

structural shocksstress testcommercial bankssequence decomposition

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Credit risk (91G40)

Cited In (2)

• Macro-stress testing dividend income. Evidence from euro area banks
• Estimating a banking-macro model using a multi-regime VAR

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