Bank of England working paper analysing fire sales under solvency and liquidity constraints, modelling banks' asset liquidation strategies under leverage, risk-weighted capital, and liquidity coverage ratios to assess systemic risk and contagion effects in the UK banking system.
Analysis by the Central Bank of Hungary on modeling loan loss provisions under IFRS 9 for solvency stress tests – examines expected loss forecasting, stage transitions, and procyclical impacts on the Hungarian banking sector’s corporate portfolio.
Academic paper presenting a stochastic optimization system for bank reverse stress testing, enabling identification of critical risk factor combinations leading to default. Covers methodology, Monte Carlo simulation, Pillar 2 risks (sovereign, reputational, interest rate), liquidity-solvency interlinkage, and application to Italian banking sector under EBA/ICAAP/SREP frameworks.
EBA-referenced study analysing how CCAR stress-test capital buffers for large U.S. banks impact commercial lending, firm loan volumes, debt, investment, and employment from 2012–2016, with findings relevant to countercyclical capital buffer (CCyB) activation effects.
EBA-aligned report proposing a standardized framework for integrating climate transition risks into regulatory stress-tests, focusing on abrupt late and sudden decarbonization scenarios. Covers methodology for assessing equity and corporate bond impacts in climate-sensitive sectors (fossil fuels, power, steel, cement, automotive, aviation) to measure financial stability and impact tolerance.
EBA-supported study by the European Commission’s Joint Research Centre examines the 'Greenium'—a negative climate risk premium in European stock returns—highlighting market pricing of green assets, implications for banks, and the need for carbon stress tests to address financial stability risks.
EBA 2019 workshop paper on system-wide stress simulation modeling to assess financial stability risks, focusing on non-bank finance growth, sector interactions, and regulatory impacts under stress scenarios.
EBA 2019 workshop discussion by Jose Berrospide analysing a general equilibrium model assessing UK market-based finance resilience under stress, focusing on non-bank financial institutions, liquidity risks, contagion channels, and fire-sale externalities in bond, repo, and derivatives markets.
Bank of Greece presents Deep-Stress, a deep learning approach for dynamic balance sheet stress testing, at the 2019 EBA Policy Research Workshop – exploring advanced methodologies for systemic risk amplification and supervisory stress testing frameworks.
Danmarks Nationalbank presentation at the 2019 EBA Policy Research Workshop discussing deep learning applications in banking stress tests, assessing dynamic balance sheet simulations and capital adequacy ratio predictions for US banks using 2008–2015 data.
EBA workshop paper exploring the Pre-Commitment Approach for bottom-up bank stress tests, comparing it with Federal Reserve methods and addressing calibration challenges to improve supervisory effectiveness in the EU banking sector.
Deutsche Bundesbank’s Peter Raupach discusses the pre-commitment approach for bottom-up bank stress tests at the 2019 EBA Policy Research Workshop, analysing incentives for truthful reporting, model integrity, and regulatory challenges in scenario-based risk forecasting.
EBA research paper analysing the severity of 2019 EBA macroeconomic scenarios for Italy using a joint probability approach, presented at the 2019 EBA Policy Research Workshop.
EBA 2019 workshop discussion on assessing the severity of EBA macroeconomic scenarios for Italy using a joint probability approach, comparing 2016 and 2018 scenarios and evaluating variable plausibility, including house price developments.
EBA 2019 research paper by Oesterreichische Nationalbank and Fachhochschule Vorarlberg proposing methods to enhance bank stress testing by improving scenario selection, loss assessment, and addressing systemic risks for more accurate financial stability analysis.
European Systemic Risk Board presentation on systematic banking stress tests, discussing scenario generation and second-round fire sale effects from leverage ratio breaches, applied to EBA 2016 stress test risk factors and adverse scenarios.
EBA research paper proposing a model-based approach to assess stress test scenario severity and bank resiliency, using Bayesian VAR on Italian macroeconomic and banking data to evaluate EBA stress test exercises (2014-2018) and measure resilience improvements under macroprudential frameworks.
EBA workshop paper by Banco de Portugal analysing a model-based approach to assess stress test severity and Italian banks' resilience, using probability-based severity metrics and the IBASE Bayesian VAR model to evaluate capital impact and credit market spillovers.
EBA 2019 workshop paper by Bank of England researchers simulating liquidity stress in derivatives markets, analysing risks from collateral calls, variation margin, and initial margin under market shocks and defensive actions.
European Systemic Risk Board presentation on simulating liquidity stress in derivatives markets – proposes a method to assess variation margin calls, liquidity shortfalls, and systemic contributions under stress scenarios, with policy implications for targeted interventions and structural reforms.