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A New Macro Stress Testing Approach for Financial Realignment in the Eurozone

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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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
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: 03 Jun 2019 09:41 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/73488 (The current URI for this page, for reference purposes)
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