Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/106347
Authors: 
Abildgren, Kim
Year of Publication: 
2013
Series/Report no.: 
Danmarks Nationalbank Working Papers 86
Abstract: 
The paper puts the outcome during the most recent financial crisis in a historical perspective by taking a closer look at the frequency of extreme events in the economic history of Denmark, in some cases based on time series back to the late 1600s. We focus on the frequency distribution of a range of key macro-financial risk factors that are commonly believed to be important drivers of credit risks and market risks faced by financial institutions. We suggest that marginal historical distributions of macro-financial risk factors might serve as inspiration for design of sensitivity tests and "worst case" scenarios in risk management and macro stress tests.
Subjects: 
Extreme events
Macro stress tests
Financial stability
Financial crisis
Danish Economic History
JEL: 
E32
E44
G01
G21
G28
G32
N23
N24
Document Type: 
Working Paper

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