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Stress testing: a stochastic simulation model and a comparison with 2014 Eba/Ecb exercise

Giuseppe Montesi, Pasquale Nicastro, Giovanni Papiro
February 2015 - n. 2

We present a multivariate stochastic model for bank stress testing and its application to the nine European banking groups of systemic importance, comparing the results to the Eba/Ecb 2014 wide stress test outcomes. A backtesting analysis is dedicated to three well-known crises: Lehman, Merrill Lynch and Northern Rock


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