How do banks respond to changes in capital requirements as a result of the stress tests? Does the disclosure of stress … test results matter? To answer these questions, we study the impact of European stress tests on banks' lending, their … on approximately 1,000 banks (stress-tested and non-tested), allow us to implement a dynamic difference …

We review heterogeneous agent-based models of financial stability and their application in stress tests. In contrast to … liquidity. We give an overview of applications to stress testing, including both microprudential and macroprudential stress … banks …

College) gave the SUERF 2015 Annual Lecture on Capital and Banks. The conference focused on core aspects of banking reform …

the COVID-19 pandemic, we use the European bank stress test results as a natural experiment, in which all banks are … analyzes the implications of the change from IAS 39 to IFRS 9 in the context of bank resilience. We shed light on two effects … bank resilience through lower capital levels. In the absence of archival data of IFRS 9 and their potential biases due to …

We study the impact of higher bank capital buffers, namely of the Other Systemically Important Institu- tions (O …-SII) buffer, on banks' lending and risk-taking behaviour. The O-SII buffer is a macroprudential policy aiming to increase banks … therefore promote the build-up (or deleverage) of banks' risk-taking. Since the end of 2015, national authorities, under the EBA …

quantity and the composition of bank lending. We find that credit supplied by banks that introduced the model-based approach … exhibits a higher sensitivity to model-based PDs as compared with credit supplied by banks that remained under the traditional …

This paper investigates the impact of stress testing results on bank's equity and CDS performance using a large sample … banks experience positive abnormal equity returns and tighter CDS spreads, while failing banks show strong drops in equity … prices and widening CDS spreads. We also document strong market reactions at the announcement date of the stress tests …