Schmieder, Christian; Hasan, Maher; Puhr, Claus - International Monetary Fund (IMF) - 2011
centered on Cihák (2007). The framework seeks enriching stress tests in terms of risk-sensitivity, while keeping them flexible …, transparent, and user-friendly. The main contributions include (a) increasing the risk-sensitivity of stress testing by capturing … changes in risk-weighted assets (RWAs) under stress, including for non-internal ratings based (IRB) banks (through a quasi …