mercoledì 8 marzo 2017

Segnalazione dalla BCE/ECB

The ECB has just published the e-book "STAMP€: Stress Test Analytics for Macroprudential Purposes in the euro area".  

The e-book is available under this link:

The book is an extended and updated version of the ECB  2013 Occasional Paper #152 on our macro stress -test framework, in particular with details on the models that ECB staff have further developed over time‎ to enrich their toolkit.

This collection of research papers is meant to illustrate how the connection between micro bank data and macro analysis can be conducted for stress-test purposes, as well as demonstrating how spillovers and contagion mechanisms can be modelled - as required to give stress testing a macroprudential flavour.
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