A false sense of security in applying handpicked equations for stress test purposes

Marco Gross and Francisco Javier Población García

No 1845, Working Paper Series from European Central Bank

Abstract: The purpose of this paper is to promote the use of Bayesian model averaging for the design of satellite models that financial institutions employ for stress testing. Banks employing JEL Classification: C11, C22, C51, E58, G21

Keywords: bank regulation and supervision; model averaging; satellite modeling; stress testing (search for similar items in EconPapers)
Date: 2015-09
New Economics Papers: this item is included in nep-cba and nep-rmg
Note: 3098116
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp1845.en.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20151845

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().