Replicate and extend the analysis of Testing Macroprudential Stress Tests the Risk of Regulatory Risk Weights

INSTRUCTIONS TO CANDIDATES

ANSWER ALL QUESTIONS

Goal

Replicate and extend the analysis of Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights (Viral Acharya, Diane Pierret, and Robert Engle), Journal of Monetary Economics, 2014, 65, pp. 36-53. 

Assignment

Acharya et al. (2014) investigate the accuracy of stress tests conducted by the European and U.S. authorities. For the purposes of this assignment focus on the European stress tests.

Re-estimate Figure 3, Figure 4 and Table 3 of the paper.

In the folder you will find all the data used in the paper in the excel files. The file readme.doc describes the content of the files. (Focusing only on the European stress tests you are not going to use all the data in the folder).

Pay attention: in some specifications of Table 3 the number of banks is 52.

Attachments:

Related Questions

. The fundamental operations of create, read, update, and delete (CRUD) in either Python or Java

CS 340 Milestone One Guidelines and Rubric  Overview: For this assignment, you will implement the fundamental operations of create, read, update,

. Develop a program to emulate a purchase transaction at a retail store. This  program will have two classes, a LineItem class and a Transaction class

Retail Transaction Programming Project  Project Requirements:  Develop a program to emulate a purchase transaction at a retail store. This

. The following program contains five errors. Identify the errors and fix them

7COM1028   Secure Systems Programming   Referral Coursework: Secure

. Accepts the following from a user: Item Name Item Quantity Item Price Allows the user to create a file to store the sales receipt contents

Create a GUI program that:Accepts the following from a user:Item NameItem QuantityItem PriceAllows the user to create a file to store the sales receip

. The final project will encompass developing a web service using a software stack and implementing an industry-standard interface. Regardless of whether you choose to pursue application development goals as a pure developer or as a software engineer

CS 340 Final Project Guidelines and Rubric  Overview The final project will encompass developing a web service using a software stack and impleme