System-wide stress testing & systemic risk

Thesis

The financial crisis of 2007-2009, which brought the entire system at the brink of collapse, renewed efforts to guard against financial instability. A key pillar of the post-crisis regulatory toolkit is "stress testing". Stress tests provide a forward-looking examination of firms’ potential losses during severely ad- verse conditions. And enable timely action to recapitalise those firms who experience capital shortfalls in such crisis scenarios. Today’s regulatory stress tests do not heed ...

Expand abstract

Authors: Kleinnijenhuis, AM

• DOI: 10.5287/ora-mnxakp5or
• Type of award: DPhil
• Level of award: Doctoral
• Awarding institution: University of Oxford
• Language: English
• Keywords: systemic risk; mathematics; stress testing; finance; networks
• Subjects: Stress Testing; Systemic Risk; Financial Stability; Mathematics; Networks; Finance; Financial Regulation