Author/Editor: Christian Schmieder, Heiko Hesse, Benjamin Neudorfer, Claus Puhr, Stefan W. Schmitz.

Release Date:January, 2012

A framework to run system-wide, balance sheet data-based liquidity stress tests is presented. The liquidity framework includes three elements: (a) a module to simulate the impact of bank run more...

Author/Editor: Christian Schmieder, Maher Hasan, Claus Puhr.

Release Date:April, 2011

This paper presents a second-generation solvency stress testing framework extending applied stress testing work centered on Cihák (2007). The framework seeks enriching stress tests in terms of more...