We consider a multi-period stochastic control problem where the multivariate driving
stochastic factor of the system has known marginal distributions but uncertain dependence …

After the financial crisis, evaluating the financial health of banks under stressed scenarios
has become common practice among supervisors. According to supervisory guidelines, the …

We present a one-period XVA model encompassing bilateral and centrally cleared trading in
a unified framework with explicit formulas for most quantities at hand. We illustrate possible …

We present a macroprudential stress testing framework. While traditional stress testing
assesses the level of banks' capital adequacy relative to regulatory requirements through a …

Identifying key risk factors is an important first step in designing an effective macro stress test
for financial institutions. The key assumption is that the identified risk factors should be …

This document describes the bank stress tests process, both in the main financial markets of
the world and in Chile. Thus discusses and describes, what are the bank stress tests, what is …

Identifying key risk factors is an important first step in designing an effective macro stress test
for financial institutions. The key assumption is that the identified risk factors should be …

El presente documento realiza una descripción del proceso de pruebas de tensión
bancaria, tanto en los principales mercados financieros del mundo como en Chile. Para ello …

Vi presenterer et rammeverk for makrotilsynsstresstester. Mens tradisjonelle stresstester
vurderer nivået på bankenes kapitaldekning opp mot regulatoriske krav gjennom en …