Drawing on the lessons from the global financial crisis and especially from its impact on the banking systems of Eastern Europe, the paper proposes a new practical approach to macroprudential stress testing. The proposed approach incorporates: (i) macroeconomic stress scenarios generated from both a country specific statistical model and historical cross-country crises experience; (ii) indirect credit risk due to foreign currency exposures of unhedged...
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INFORMACIÓN
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2012/01/01
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Documento de trabajo sobre investigaciones relativas a políticas
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WPS5936
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1
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1
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2012/01/01
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Disclosed
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Macroprudential stress testing of credit risk : a practical approach for policy makers
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financial and private sector development