Calibrating the magnitude of the countercyclical capital buffer using market-based stress tests / by Maarten R. C. van Oordt.: FB3-5/2018-54E-PDF
"This paper proposes a novel methodology to calibrate the magnitude of the cap on the countercyclical capital buffer (CCyB) using market-based stress tests. The macroprudential authority in our paper aims to contain the possibility of a breach of a minimum capital ratio in the event of a severe system-wide shock within a certain permissible failure probability"--Abstract, p. ii.
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| Title | Calibrating the magnitude of the countercyclical capital buffer using market-based stress tests / by Maarten R. C. van Oordt. |
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| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Digital text |
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| Description | ii, 43 p. : col. ill. |
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