Haku
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Measuring counterparty risk in FMIs
(15.12.2021)
BoF Economics Review 9/2021
BoF Economics Review 9/2021
This paper extends traditional payment system simulation analysis to counterparty liquidity risk exposures. The used stress test scenario corresponds to the counterparty stress scenario applied in the BCBS standard “Monitoring ...
Could corporate credit losses turn out higher than expected?
(18.08.2021)
BoF Economics Review 3/2021
BoF Economics Review 3/2021
While corporate credit losses have been low since the start of the Covid-19 pandemic, their future evolution is quite uncertain. Using a forecasting model with a solid track record, we find that the baseline scenario ...