 | Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective Author/Editor: Marco Gross, Dimitrios Laliotis, Mindaugas Leika, Pavel Lukyantsau. Release Date:July, 2020 The objective of this paper is to present an integrated tool suite for IFRS 9- and CECL-compatible estimation in top-down solvency stress tests. The tool suite serves as an illustration for more...
| Price: $5.00
|
 | Stress Testing in Sub-Saharan Africa : Practices, Communications, and Capacity Development Author/Editor: Mindaugas Leika, Hector Perez-Saiz, Olga Ilinichna Stankova, Torsten Wezel. Release Date:May, 2020 The paper finds that supervisory stress tests are conducted in more than half of sub-Saharan African countries, particularly in western and southern Africa, and that the number of individual stress more...
| Price: $20.00
|
| Integrating Solvency and Liquidity Stress Tests: The Use of Markov Regime-Switching Models Author/Editor: Fei Han, Mindaugas Leika. Release Date:November, 2019 The paper presents a framework to integrate liquidity and solvency stress tests. An empirical study based on European bond trading data finds that asset sales haircuts depend on the total amount of more...
| Price: $18.00
|
| A Generalized Framework for the Assessment of Household Financial Vulnerability Author/Editor: Mindaugas Leika, Daniela Marchettini. Release Date:November, 2017 Household financial fragility has received considerable attention following the global
financial crisis, but substantial gaps remain in the analytical underpinnings of household
financial more...
| Price: $18.00
|
|
Help