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probabilities, on reduced-form credit risk stress testing. This type of uncertainty is omnipresent in most macroeconomic stress … testing applications due to short time series for banks' portfolio risk parameters and highly collinear macroeconomic … distributions and implied capital shortfalls by conducting a full-edged top-down credit risk stress test for over 1,500 German banks …
Persistent link: https://www.econbiz.de/10011897976
This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and … probabilities are less exposed to model and estimation risk. In addition, the risk horizon over which the stress default … extensive robustness checks for model-based credit risk stress tests. …
Persistent link: https://www.econbiz.de/10011981523
Standardized Approach leads to an up to 33% lower stress impact relative to the more risk-sensitive "pseudo-IRB" approach. …
Persistent link: https://www.econbiz.de/10011764865
Our analysis finds that despite the growing number, the majority of savings banks currently do not make any payouts. Furthermore, savings banks distribute only a small part of their net profit to the shareholders. This means that they can still build up capital even if they make payouts. Savings...
Persistent link: https://www.econbiz.de/10011496963
recourse to central bank finance is rather limited and does not affect the risk-taking behaviour of banks in the non …
Persistent link: https://www.econbiz.de/10012014102
The game-theoretical analysis of this paper shows that stress tests that cover the entire banking sector (macro stress tests) can be performed by institutional supervisors to improve welfare. In a multi-receiver framework of Bayesian persuasion we show that a banking authority can create value...
Persistent link: https://www.econbiz.de/10009674818
Using a unique data set on German banks' loans to the German real economy, we investigate banks' credit risk. This data … banks, this percentage is less than eight percent. -- Credit risk ; systematic risk ; maturity ; stress tests …
Persistent link: https://www.econbiz.de/10009685919
Life insurers typically grant policyholders a surrender option. We demonstrate that the resulting lapse risk could …
Persistent link: https://www.econbiz.de/10011285414
-down, stress-testing framework to quantify systemic risk. The key transmission mechanism is a two-way interaction between the …
Persistent link: https://www.econbiz.de/10011520642
Persistent link: https://www.econbiz.de/10011438242