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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