Incorporating funding costs in top-down stress tests
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DOI: 10.1016/j.jfs.2020.100798
Abstract: Abstract Central banks and supervisory authorities regularly conduct stress tests of banks. As losses accumulate in stress scenarios, banks’ equity position worsens, and they must pay higher interest rates to retain funding. I explore how… read more here.
Keywords: incorporating funding; funding costs; stress; stress tests ... See more keywords