{"id":"https://openalex.org/W3124633555","doi":"https://doi.org/10.1016/j.jfs.2011.10.003","title":"Macro stress testing of credit risk focused on the tails","display_name":"Macro stress testing of credit risk focused on the tails","publication_year":2011,"publication_date":"2011-11-05","ids":{"openalex":"https://openalex.org/W3124633555","doi":"https://doi.org/10.1016/j.jfs.2011.10.003","mag":"3124633555"},"language":"en","primary_location":{"id":"doi:10.1016/j.jfs.2011.10.003","doi":"https://doi.org/10.1016/j.jfs.2011.10.003","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.jfs.2011.10.003","pdf_url":"http://www.bcb.gov.br/pec/wps/ingl/wps241.pdf","source":{"id":"https://openalex.org/S121634618","display_name":"Journal of Financial Stability","issn_l":"1572-3089","issn":["1572-3089","1878-0962"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-2","jufo-2","norway-1","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Financial Stability","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"http://www.bcb.gov.br/pec/wps/ingl/wps241.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5054360034","display_name":"Ricardo Schechtman","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I1342477950","display_name":"Central Bank of Brazil","ror":"https://ror.org/01h7jse56","country_code":"BR","type":"other","lineage":["https://openalex.org/I1342477950"]}],"countries":["BR"],"is_corresponding":true,"raw_author_name":"Ricardo Schechtman","raw_affiliation_strings":["Research Department, Central Bank of Brazil, Brazil"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Research Department, Central Bank of Brazil, Brazil","institution_ids":["https://openalex.org/I1342477950"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5071062017","display_name":"Wagner Piazza Gaglianone","orcid":"https://orcid.org/0000-0003-0796-2117","observed_orcids":["https://orcid.org/0000-0003-0796-2117"]},"institutions":[{"id":"https://openalex.org/I1342477950","display_name":"Central Bank of Brazil","ror":"https://ror.org/01h7jse56","country_code":"BR","type":"other","lineage":["https://openalex.org/I1342477950"]},{"id":"https://openalex.org/I4210094603","display_name":"Fucape Business School","ror":"https://ror.org/009afhj46","country_code":"BR","type":"education","lineage":["https://openalex.org/I4210094603"]}],"countries":["BR"],"is_corresponding":false,"raw_author_name":"Wagner Piazza Gaglianone","raw_affiliation_strings":["Fucape Business School, Brazil","Research Department, Central Bank of Brazil, Brazil"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Fucape Business School, Brazil","institution_ids":["https://openalex.org/I4210094603"]},{"raw_affiliation_string":"Research Department, Central Bank of Brazil, Brazil","institution_ids":["https://openalex.org/I1342477950"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5054360034"],"corresponding_institution_ids":["https://openalex.org/I1342477950"],"apc_list":{"value":3470,"currency":"USD","value_usd":3470},"apc_paid":null,"fwci":9.471,"has_fulltext":true,"cited_by_count":42,"citation_normalized_percentile":{"value":0.97726612,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":98},"biblio":{"volume":"8","issue":"3","first_page":"174","last_page":"192"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.48539999127388,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.48539999127388,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.32760000228881836,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.07249999791383743,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/macro-stress-testing","display_name":"macro stress testing","score":0.9929999709129333},{"id":"https://openalex.org/keywords/credit-risk","display_name":"credit risk","score":0.7739999890327454},{"id":"https://openalex.org/keywords/tail-risk","display_name":"tail risk","score":0.8610000014305115},{"id":"https://openalex.org/keywords/wilson-model","display_name":"Wilson model","score":0.7310000061988831},{"id":"https://openalex.org/keywords/quantile-regression","display_name":"quantile regression","score":0.9869999885559082},{"id":"https://openalex.org/keywords/default-correlation","display_name":"default correlation","score":0.5529999732971191},{"id":"https://openalex.org/keywords/unemployment-rate","display_name":"unemployment rate","score":0.5889999866485596},{"id":"https://openalex.org/keywords/inflation","display_name":"inflation","score":0.6209999918937683},{"id":"https://openalex.org/keywords/interest-rates","display_name":"interest rates","score":0.9300000071525574},{"id":"https://openalex.org/keywords/household-sector","display_name":"household sector","score":0.828000009059906}],"concepts":[{"id":"https://openalex.org/C2778215004","wikidata":"https://www.wikidata.org/wiki/Q1137437","display_name":"Solvency","level":3,"score":0.7712968587875366},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6910479664802551},{"id":"https://openalex.org/C166955791","wikidata":"https://www.wikidata.org/wiki/Q629579","display_name":"Macro","level":2,"score":0.641156017780304},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6312129497528076},{"id":"https://openalex.org/C7515471","wikidata":"https://www.wikidata.org/wiki/Q1936882","display_name":"Stress testing (software)","level":2,"score":0.6080555319786072},{"id":"https://openalex.org/C200941418","wikidata":"https://www.wikidata.org/wiki/Q273508","display_name":"Inflation (cosmology)","level":2,"score":0.6006366014480591},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.5884972810745239},{"id":"https://openalex.org/C118671147","wikidata":"https://www.wikidata.org/wiki/Q578714","display_name":"Quantile","level":2,"score":0.5218906998634338},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.4461706876754761},{"id":"https://openalex.org/C2778126366","wikidata":"https://www.wikidata.org/wiki/Q41171","display_name":"Unemployment","level":2,"score":0.4352300465106964},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.33611589670181274},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.2570996582508087},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.21683764457702637},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.1847030520439148},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.0736536979675293},{"id":"https://openalex.org/C33332235","wikidata":"https://www.wikidata.org/wiki/Q18362","display_name":"Theoretical physics","level":1,"score":0.0},{"id":"https://openalex.org/C50522688","wikidata":"https://www.wikidata.org/wiki/Q189833","display_name":"Economic growth","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1016/j.jfs.2011.10.003","doi":"https://doi.org/10.1016/j.jfs.2011.10.003","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.jfs.2011.10.003","pdf_url":"http://www.bcb.gov.br/pec/wps/ingl/wps241.pdf","source":{"id":"https://openalex.org/S121634618","display_name":"Journal of Financial Stability","issn_l":"1572-3089","issn":["1572-3089","1878-0962"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-2","jufo-2","norway-1","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Financial Stability","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.1662628","doi":"https://doi.org/10.2139/ssrn.1662628","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1662628","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},{"id":"pmh:oai:RePEc:bcb:wpaper:241","doi":null,"is_oa":false,"landing_page_url":"https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/wps241.pdf","pdf_url":"https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/wps241.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"mag:3124633555","doi":null,"is_oa":false,"landing_page_url":"https://econpapers.repec.org/paper/bcbwpaper/241.htm","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:RePEc:eee:finsta:v:8:y:2012:i:3:p:174-192","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S1572308911000532","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"doi:10.1016/j.jfs.2011.10.003","doi":"https://doi.org/10.1016/j.jfs.2011.10.003","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.jfs.2011.10.003","pdf_url":"http://www.bcb.gov.br/pec/wps/ingl/wps241.pdf","source":{"id":"https://openalex.org/S121634618","display_name":"Journal of Financial Stability","issn_l":"1572-3089","issn":["1572-3089","1878-0962"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-2","jufo-2","norway-1","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Financial Stability","raw_type":"journal-article"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"id":"https://metadata.un.org/sdg/8","display_name":"Decent work and economic growth","score":0.6800000071525574}],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W3124633555.pdf","grobid_xml":"https://content.openalex.org/works/W3124633555.grobid-xml"},"referenced_works_count":33,"referenced_works":["https://openalex.org/W646018112","https://openalex.org/W1486439999","https://openalex.org/W1508534025","https://openalex.org/W1533249971","https://openalex.org/W1539738609","https://openalex.org/W1543995878","https://openalex.org/W1544592527","https://openalex.org/W1565095668","https://openalex.org/W1573631102","https://openalex.org/W1580925398","https://openalex.org/W1996470779","https://openalex.org/W1998033860","https://openalex.org/W2009911247","https://openalex.org/W2061960194","https://openalex.org/W2069774232","https://openalex.org/W2069836700","https://openalex.org/W2109139354","https://openalex.org/W2112352537","https://openalex.org/W2117178635","https://openalex.org/W2118711140","https://openalex.org/W2133792635","https://openalex.org/W2135149065","https://openalex.org/W2143020676","https://openalex.org/W2159863309","https://openalex.org/W2162898310","https://openalex.org/W2954808508","https://openalex.org/W3121530844","https://openalex.org/W3121935849","https://openalex.org/W3123348630","https://openalex.org/W3124794948","https://openalex.org/W3125265569","https://openalex.org/W4241653265","https://openalex.org/W6814343861"],"related_works":["https://openalex.org/W7099386217","https://openalex.org/W7203515331","https://openalex.org/W2136378739","https://openalex.org/W7171690671","https://openalex.org/W2238197391","https://openalex.org/W3021607094","https://openalex.org/W6996732555","https://openalex.org/W7143280991","https://openalex.org/W2139139577","https://openalex.org/W2567233986"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":5},{"year":2012,"cited_by_count":4}],"updated_date":"2026-10-28T10:33:24.094632","created_date":"2021-02-01T00:00:00"}