A Study on the Eba Stress Test Results : Influence of Bank-, Portfolio, and Country-Level Characteristics
This paper investigates the drivers of the change in the credit risk provisions at a portfolio level for banks that have been subject of the 2018 EBA stress tests. We perform a holistic review of the drivers of the three-year projections of credit losses. We define a model containing all the macroeconomic variables considered by the EBA approach. By adding a three-dimension set of explanatory variables, entity-, banking sector- and portfolio-level aspects, we verify that the published results show a relation with these explanatory variables. Our results show that, although EBA variables explain most part of credit risk provisions, bank-level variables, banking sector features, and the specific characteristics of the portfolio also play a role in explaining part of the provisions. The results also indicate the existence of complementary/substitution effects of both bank- and portfolio-level variables with the characteristics of the banking sector when explaining credit risk provisions
Year of publication: |
2022
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Authors: | Hernández, Javier ; Javier, Poblacion ; Suárez, Nuria ; Tarancón, Javier |
Publisher: |
[S.l.] : SSRN |
Saved in:
freely available
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