The authors of this paper develop a Bayesian-based credit risk stress-testing methodology.
The authors of this paper present a cross-sectional stress test analysis of major US banks.
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This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.