欧洲央行-用于财务稳定性应用的压力测试方法的进展（英）-2024.5

报告摘要

Occasional Paper Series Advancements in stress-testing methodologies for financial stability

核心要点

1. 1 Introduction 5
2. 2 Stress testing in Europe 8
3. 2.1 Evolving uses of top-down stress testing 8
4. 2.2 An overview of WGST deliverables and achievements 22
5. 3 Top-down models 24
6. 3.1 Overview of top-down models 24
7. 3.2 Credit risk: overview 27
8. 3.3 Credit risk: IFRS 9 parameters 28

报告信息