Publications

EBA 2019 research paper by Oesterreichische Nationalbank and Fachhochschule Vorarlberg proposing methods to enhance bank stress testing by improving scenario selection, loss assessment, and addressing systemic risks for more accurate financial stability analysis.

European Systemic Risk Board presentation on systematic banking stress tests, discussing scenario generation and second-round fire sale effects from leverage ratio breaches, applied to EBA 2016 stress test risk factors and adverse scenarios.

EBA research paper proposing a model-based approach to assess stress test scenario severity and bank resiliency, using Bayesian VAR on Italian macroeconomic and banking data to evaluate EBA stress test exercises (2014-2018) and measure resilience improvements under macroprudential frameworks.

EBA workshop paper by Banco de Portugal analysing a model-based approach to assess stress test severity and Italian banks' resilience, using probability-based severity metrics and the IBASE Bayesian VAR model to evaluate capital impact and credit market spillovers.

EBA 2019 workshop paper by Bank of England researchers simulating liquidity stress in derivatives markets, analysing risks from collateral calls, variation margin, and initial margin under market shocks and defensive actions.

European Systemic Risk Board presentation on simulating liquidity stress in derivatives markets – proposes a method to assess variation margin calls, liquidity shortfalls, and systemic contributions under stress scenarios, with policy implications for targeted interventions and structural reforms.

EBA 2019 research paper analysing determinants of bank liquidity in France, exploring interactions between market and regulatory requirements, liquidity shocks, and banks' ability to manage liquidity ratios amid solvency and funding risks.

EBA research paper analysing fire sale risks under solvency and liquidity constraints, presented at the 2019 EBA Policy Research Workshop by Bank of England and ESRB experts.

ECB analysis on fire sales under solvency and liquidity constraints, assessing deleveraging strategies, systemic impacts, and stress scenarios (LCR, leverage, capital ratios) based on BoE Working Paper #793, presented at EBA in 2019.

EBA Policy Research Workshop presentation by the Central Bank of Hungary on stress testing approaches under IFRS 9, covering expected loan loss provisioning, stage differentiation, and modeling challenges for banks under macroeconomic scenarios.

Analysis of IFRS 9's impact on loan loss provisions in the Central Bank of Hungary’s solvency stress test, highlighting immediate effects of adverse shocks and procyclical risks in banking sector stability.

ESRB and ETH Zürich research on reverse stress testing and fire sale modeling – presents methodology, scenario design, and empirical findings for European banks at the 2019 EBA Policy Research Workshop.

ECB draft paper on reverse stress testing – proposes an algorithmic methodology to design worst-case stress test scenarios, assessing bank vulnerabilities and systemic contagion risks from microprudential and macroprudential perspectives.

EBA research workshop paper presenting a stochastic optimization system for reverse stress testing in banks, focusing on identifying risk driver scenarios that breach regulatory capital thresholds like CET1 and TSCR, with application to the Italian banking sector and analysis of risk interactions.

EBA discussion paper by Edgar Löw on stochastic optimization systems for bank reverse stress testing, covering methodology, analysis logic, and key considerations in regulatory risk assessment.