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Making sense of the EU wide stress test: a comparison with the SRISK approach. (2016). Homar, Timotej ; Kick, Heinrich ; Salleo, Carmelo.
In: Working Paper Series.
RePEc:ecb:ecbwps:20161920.

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Cited: 9

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Cites: 25

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  1. Did the Basel Process of capital regulation enhance the resiliency of European banks?. (2021). Gehrig, Thomas ; Iannino, Maria Chiara.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:55:y:2021:i:c:s1572308921000644.

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  2. Deconstructing systemic risk: A reverse stress testing approach.. (2021). Ojea-Ferreiro, Javier.
    In: CNMV Working Papers.
    RePEc:cnv:wpaper:dt_74en.

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  3. Measuring systemic risk in the U.S. Banking system. (2020). Sanz, Ivan Pastor ; Lopez-Iturriaga, Felix J ; Kolari, James W.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:91:y:2020:i:c:p:646-658.

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  4. On the ranking consistency of global systemic risk measures: empirical evidence. (2018). Grundke, Peter ; Abendschein, Michael.
    In: Annual Conference 2018 (Freiburg, Breisgau): Digital Economy.
    RePEc:zbw:vfsc18:181623.

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  5. Did the Basel process of capital regulation enhance the resiliency of European Banks?. (2018). Gehrig, Thomas ; Iannino, Maria Chiara .
    In: Research Discussion Papers.
    RePEc:bof:bofrdp:2018_016.

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  6. Do stress tests matter? Evidence from the 2014 and 2016 stress tests. (2017). Kok, Christoffer ; Kapp, Daniel ; Gross, Marco ; Georgescu, Oana-Maria .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20172054.

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  7. Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks?. (2017). Gehrig, Thomas ; Iannino, Maria Chiara .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11920.

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  8. What Drives Systemic Bank Risk in Europe: the balance sheet effect. (2017). Wosser, Michael.
    In: Research Technical Papers.
    RePEc:cbi:wpaper:08/rt/17.

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References

References cited by this document

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  3. Acharya, V. V, and S. Steffen. 2014c. Falling Short of Expectations ? Stress-Testing the European Banking System. CEPS Policy Brief 315.

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  21. Recent developments in variable selection algorithms include ways to overcome the problem of missing data, as discussed in Garcia, Ibrahim, and Zhu (2010). The adaptive LASSO (Zou 2006) would be one way to deal with the missing data, and we intend to complement our setups by the preferred adaptive LASSO solution once this algorithm is implemented in STATA.
    Paper not yet in RePEc: Add citation now
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    Paper not yet in RePEc: Add citation now
  23. Steffen, S. 2014. Robustness, Validity and Significance of the ECB’s Asset Quality Review and Stress Test Exercise. Study requested by the European Parliament’s Economic and Monetary Affairs Committee .

  24. Using variable selection techniques such as least angle regressions or LASSO (Zou 2006) starting from the entire set of regressors is not adding much value, because of missing data for some regressors.
    Paper not yet in RePEc: Add citation now
  25. Zou, H. 2006. The Adaptive Lasso and Its Oracle Properties. Journal of the American Statistical Association 101:1418–29.

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  3. The certification role of the EU-wide stress testing exercises in the stock market. What can we learn from the stress tests (2014-2021)?. (2022). Marques, Aurea ; Ongena, Steven ; Durrani, Agha.
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