We explore the question of optimal aggregation level for stress testing models when the stress test is specified in terms of aggregate macroeconomic variables, but the underlying performance data are ...

How well stress tests measure a bank’s ability to survive adverse conditions depends on the statistical modeling approach used. Banks can access data on loan characteristics to precisely estimate ...

In general, price relatives are first computed at the individual item level within each basic heading for each pair of economies being compared. Suppose three economies—A, B, and C—price two kinds of ...