This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
Acharya, V., Engle, R., & Pierret D. (2013, April). Testing macroprudential stress tests: The risk of regulatory risk weights. NBER Working Paper Series, No. 18968, Cambridge.AcharyaV.EngleR.PierretD.2013AprilTesting macroprudential stress tests: The risk of regulatory risk weightsNBER Working Paper Series, No. 18968,Cambridge10.3386/w18968Search in Google Scholar
Assouan, S. (2012). Stress testing a retail loan portfolio: An error correction model approach. The Journal of Risk Model Validation, 6(1), 3–25.AssouanS.2012Stress testing a retail loan portfolio: An error correction model approachThe Journal of Risk Model Validation6132510.21314/JRMV.2012.082Search in Google Scholar
Bandt, O., Dumontaux, N., Martin, V., & Medee, D. (2013). Stress-testing banks’ corporate credit portfolio. Debats economiques et financiers, 2013/2, 1–45.BandtO.DumontauxN.MartinV.MedeeD.2013Stress-testing banks’ corporate credit portfolioDebats economiques et financiers20132145Search in Google Scholar
Bangia, A., Diebolda, F., & Schuermann, F. (2000, September). Rating migration and the business cycle, with applications to credit portfolio stress testing. PIER Working Paper No. 01-004, The Wharton School.BangiaA.DieboldaF.SchuermannF.2000SeptemberRating migration and the business cycle, with applications to credit portfolio stress testingPIER Working Paper No. 01-004,The Wharton School10.2139/ssrn.231152Search in Google Scholar
Bank of England. (2017, March). Stress testing the UK banking system: Key elements of 2017 stress test. Bank of England, Great Britain.Bank of England2017MarchStress testing the UK banking system: Key elements of 2017 stress testBank of EnglandGreat BritainSearch in Google Scholar
Beitz, M., & Ehrhardt, M. (2011). A new method for stress testing on investment products. World Scientific Review, The Risk of Investment Products, 225–240BeitzM.EhrhardtM.2011A new method for stress testing on investment productsWorld Scientific Review, The Risk of Investment Products,22524010.1142/9789814354998_0010Search in Google Scholar
Costabile, A., & Schmude, M. (2012, October). Credit risk: Default, migration and correlation shocks, stress testing market report, https://www.msci.com/documents/10199/f665caa6-bb05-4c5e-9fb7-94ca68bb9233CostabileA.SchmudeM.2012OctoberCredit risk: Default, migration and correlation shocks, stress testing market reporthttps://www.msci.com/documents/10199/f665caa6-bb05-4c5e-9fb7-94ca68bb9233Search in Google Scholar
Guarda, P., Rouabah, A., & Theal, J. (2013). A mixture vector autoregressive framework to capture extreme events in macro-prudential stress tests. Journal of Risk Model Validation, 7(4), 21–51.GuardaP.RouabahA.ThealJ.2013A mixture vector autoregressive framework to capture extreme events in macro-prudential stress testsJournal of Risk Model Validation74215110.21314/JRMV.2013.113Search in Google Scholar
Hadasik, D. (1998). Upadłość przedsiębiorstw w Polsce i metody jej prognozowania Zeszyty Naukowe, Seria II, No. 153. Poznań: Akademia Ekonomiczna w Poznaniu.HadasikD.1998Upadłość przedsiębiorstw w Polsce i metody jej prognozowaniaZeszyty Naukowe, Seria II, No. 153.PoznańAkademia Ekonomiczna w PoznaniuSearch in Google Scholar
Hoggarth, G., Sorensen, S., & Zicchino, L. (2005, November). Stress tests of UK banks using a VAR approach. London: Bank Anglii.HoggarthG.SorensenS.ZicchinoL.2005NovemberStress tests of UK banks using a VAR approachLondonBank Anglii10.2139/ssrn.872693Search in Google Scholar
Huajian Yang, B., & Du, Z. (2015, June). Stress testing and modeling of rating migration under the Vasicek model framework – Empirical approaches and technical implementation. Munich Personal RePEc Archive, Germany.Huajian YangB.DuZ.2015JuneStress testing and modeling of rating migration under the Vasicek model framework – Empirical approaches and technical implementationMunich Personal RePEc ArchiveGermany10.21314/JRMV.2015.137Search in Google Scholar
Hughes, T., & Hillman, K. (2013, December). Moody's economic scenario accelerator. Moody's Analytics.HughesT.HillmanK.2013DecemberMoody's economic scenario acceleratorMoody's AnalyticsSearch in Google Scholar
Licari, J. M., Suarez-Lledo, J., & Black, B. (2013). Stress testing of credit migration a macroeconomic approach. Economic & Consumer Credit Analytics, Moody's Analytics, 2013/5.LicariJ. M.Suarez-LledoJ.BlackB.2013Stress testing of credit migration a macroeconomic approachEconomic & Consumer Credit Analytics, Moody's Analytics20135Search in Google Scholar
Loretan, M. (1997). Generating market risk scenarios using principal components analysis: methodological and practical considerations. Federal Reserve Board.LoretanM.1997Generating market risk scenarios using principal components analysis: methodological and practical considerationsFederal Reserve BoardSearch in Google Scholar
Mager, F., & Schmieder, C. (2009). Stress-testing German credit portfolios. The Journal of Risk Model Validation, 3(3), 27–45.MagerF.SchmiederC.2009Stress-testing German credit portfoliosThe Journal of Risk Model Validation33274510.21314/JRMV.2009.044Search in Google Scholar
Nehrebecka, N. (2018). An evaluation of the discriminatory power of selected Polish bankruptcy prediction models as part of the validation process, 23 (4), 63–88.NehrebeckaN.2018An evaluation of the discriminatory power of selected Polish bankruptcy prediction models as part of the validation process234638810.15611/fins.2018.4.05Search in Google Scholar
Miu, P., & Ozdemir, B. (2009). Stress testing probability of default and migration rate with respect to Basel II requirements. The Journal of Risk Model Validation, 3(4), 2009/10.MiuP.OzdemirB.2009Stress testing probability of default and migration rate with respect to Basel II requirementsThe Journal of Risk Model Validation342009/10.10.21314/JRMV.2009.048Search in Google Scholar
Philippon, T., Pessarossi, P., & Camara, B. (2017, January). Backtesting European stress test. NBER Working Paper Series, Working Paper 23083.PhilipponT.PessarossiP.CamaraB.2017JanuaryBacktesting European stress testNBER Working Paper Series, Working Paper 23083.10.3386/w23083Search in Google Scholar
Polish Classification of Activities (2007), https://stat.gov.pl/Klasyfikacje/doc/pkd_07/pkd_07.htmPolish Classification of Activities2007https://stat.gov.pl/Klasyfikacje/doc/pkd_07/pkd_07.htmSearch in Google Scholar
Varotto, S. (2011, August). Stress testing credit risk: The great depression scenario. Deutsche BundesBank.VarottoS.2011AugustStress testing credit risk: The great depression scenarioDeutsche BundesBank10.2139/ssrn.1570137Search in Google Scholar
Zandi, M. & Hoyt, S. (2015, April). U.S. macro model methodology. Moody's Analytics.ZandiM.HoytS.2015AprilU.S. macro model methodologyMoody's AnalyticsSearch in Google Scholar