Working Paper: Incorporating Funding Costs in Top-down Stress Tests

Working Papers - February 2017 - No. 110

Authors Korsgaard, Søren
Subject Stress Tests
Type Working paper
Year 2017
Published 15 February 2017
The paper discusses how to measure bank risk based on market data, the relationship between risk measures and bank funding costs and how increased funding costs can be incorporated in a stress test.