An integrated macro-financial risk-based approach to the stressed capital requirement-Reference-Cited by-同舟云学术

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An integrated macro-financial risk-based approach to the stressed capital requirement

Published:2017-09 Issue: Volume:34 Page:86-98
ISSN:1058-3300
Container-title:Review of Financial Economics
language:en
Short-container-title:Review of Financial Economics

Author:

Liu Xiaochun^ORCID

Publisher

Wiley

Subject

Economics and Econometrics,Finance

Reference57 articles.

1. A detailed comparison of value at risk estimates;Abad;Mathematics and Computers in Simulation,2013

2. Covar;Adrian;American Economic Review,2016

3. International convergence of capital measurement and capital standards,2006

4. Revisions to the basel II market risk framework,2009

5. Guidance for national authorities operating the countercyclical capital buffer,2010

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Assessing the resilience of the US banking sector under a macroeconomic stress testing;Journal of Economic Studies;2023-11-14

2. Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary;Journal of Financial Econometrics;2021-11-28

3. Conditional Encompassing Test for Expected Shortfall Jointly Elicitable with Value-at-Risk;SSRN Electronic Journal;2019

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