Stressed Scenarios and Linkages to Market Risk Instruments
This paper demonstrates a two-step methodology for forecasting and stress-testing market risk instruments with explicit links to stressed macro scenarios.
Modeling and Stressing the Interest Rates Swap Curve
This article presents a two-step modeling and stress testing framework for the term structure of interest rates swaps that generates sensible forecasts and stressed scenarios out of sample. The results are shown for the euro, the US dollar, and British pound swap curves.
Dynamics of European Real Estate Markets
This article provides a brief description of each national housing market and characterizes major supply and demand determinants. The main European property markets descriptions are then complemented with more illustrative analysis using a simple supply and demand model. Finally, it concentrates on the macroeconomic impact on housing shock.
Europe Misses Again on Bank Stress Test
This article considers the impact on the European banking sector and financial markets and asks whether more measures are needed to test institutions under the conditions of sovereign default, and if the data provided by the banks was of sufficient quality.
European Risks Are Not Created Equal: Germany vs. the U.K.
The fiscal and monetary policymaking structure of individual countries in Europe creates differences in how they will react to various economic shocks. This study begins with the baseline forecast for Germany and the U.K. over the coming three years and analyzes deviations from the baseline outlook for GDP and other macroeconomic variables for eight alternative scenarios, each of which represents an important risk to their economic outlook.