Apergis, Emmanuel, Apergis, Iraklis, Apergis, Nicholas (2019) A New Macro Stress Testing Approach for Financial Realignment in the Eurozone. Journal of International Financial Markets, Institutions and Money, . ISSN 1042-4431. (doi:10.1016/j.intfin.2019.02.002) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided) (KAR id:73488)
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Official URL https://doi.org/10.1016/j.intfin.2019.02.002 |
Abstract
Contrary to the common approach of stress-testing under which banks are evaluated
test approach to a wider new macro stress test category. By being able to stress testing
will open room for new banking players to enter the sector, promoting the essence of a
VaR, Cornish-Fisher VaR, Monte Carlo VaR, Expected Shortfall, Cornish-Fisher Expected
the new regulatory approach of IFRS9 to incorporate extreme values from forecasted series
TARGET2 and one without it. The results document that future stress tests should include
from these stress tests clearly illustrate that although there has been a trough after the
TARGET2 transfers. By including the TARGET2 transfers we receive a different picture that
possibly due to some lingering imbalances within the Eurozone
Item Type: | Article |
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DOI/Identification number: | 10.1016/j.intfin.2019.02.002 |
Uncontrolled keywords: | Macroprudential, policyFinancial, stabilityMacro stress, testSystemic, riskEuropean, Banking Union |
Divisions: | Faculties > Social Sciences > Kent Business School |
Depositing User: | E. Apergis |
Date Deposited: | 15 Apr 2019 11:09 UTC |
Last Modified: | 25 Aug 2020 08:07 UTC |
Resource URI: | https://kar.kent.ac.uk/id/eprint/73488 (The current URI for this page, for reference purposes) |
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