Michael Jacobs Jr.
A generic stress testing framework with related economic shocks and possible regulatory intervention
In this paper, the authors develop and demonstrate a universal framework for supervisory stress tests of financial institutions that considers the probable dependencies among macroeconomic shocks and possible regulatory intervention.
Asset price bubbles and the quantification of credit risk capital with sensitivity analysis, empirical implementation and an application to stress testing
This paper presents an analysis of the impact of asset price bubbles on standard credit risk measures.