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Many a little makes a mickle : macro portfolio stress test for small and medium-sized German banks

Busch, Ramona; Koziol, Philipp; Mitrovic, Marc - 2015

We develop a macroeconomic portfolio stress test that is specifically geared towards small and medium-sized banks. We combine a credit risk stress test which simulates credit impairments via a CreditMetrics type multi-factor portfolio model with an income stress test in the form of dynamic panel...

Persistent link: https://www.econbiz.de/10011308474

Climate stress test for the German banking sector : impact of the green transition on corporate loan portfolios

Gross, Christian; Kuntz, Laura-Chloé; Niederauer, Simon; … - 2025

, highlighting the importance of concentration risk in bank portfolios. …

Persistent link: https://www.econbiz.de/10015410354

On a quest for robustness : about model risk, randomness and discretion in credit risk stress tests

Siemsen, Thomas; Vilsmeier, Johannes - 2018

covariates. We quantify the effect of model uncertainty on supervisory and bank stress tests in terms of predicted portfolio loss …

Persistent link: https://www.econbiz.de/10011897976

A comprehensive view on risk reporting : evidence from supervisory data

Abbassi, Puriya; Schmidt, Michael - 2018

that supervision should include a comprehensive view of different bank risk dimensions. …

Persistent link: https://www.econbiz.de/10011826077

Interbank risk assessment : a simulation approach

Jager, Maximilian; Siemsen, Thomas; Vilsmeier, Johannes - 2020

We introduce a novel simulation-based network approach, which provides full-edged distributions of potential interbank losses. Based on those distributions we propose measures for (i) systemic importance of single banks, (ii) vulnerability of single banks, and (iii) vulnerability of the whole...

Persistent link: https://www.econbiz.de/10012201789

Stress testing the German mortgage market

Barasinska, Nataliya; Haenle, Philipp; Koban, Anne; … - 2019

then use the model to run a top-down stress test and simulate losses on the individual bank level for the years from 2018 …

Persistent link: https://www.econbiz.de/10012012997

Model and estimation risk in credit risk stress tests

Grundke, Peter; Pliszka, Kamil; Tuchscherer, Michael - 2019

This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and implementing a model can drive the results of a quantitative stress test for default probabilities. For this purpose, we employ several variations of a CreditPortfolioView-style model...

Persistent link: https://www.econbiz.de/10011981523

Back to the roots of internal credit risk models : does risk explain why banks' risk-weighted asset levels converge over time?

Böhnke, Victoria; Ongena, Steven; Paraschiv, Florentina; … - 2024

The internal ratings-based (IRB) approach maps bank risk profiles more adequately than the standardized approach. After … may only enforce strict supervision on capital requirements if they do not jeopardize bank existence. …

Persistent link: https://www.econbiz.de/10014467948

Capturing information contagion in a stress-testing framework

Anand, Kartik; Gauthier, Céline; Gai, Prasanna; … - 2016

assets by secondary market investors. This hampers a troubled bank's recourse to liquidity and increases the incidence of … bank runs, potentially unleashing a wave of investor pessimism that can drive otherwise solvent banks into illiquidity. We … quantify this contagion channel in the context of the Bank of Canada's model of the Canadian banking system and a stress …

Persistent link: https://www.econbiz.de/10011520642

Calculating trading book capital : is risk separation appropriate?

Raupach, Peter - 2015

Regulatory capital for trading book positions includes two components that cover different risks but apply to the same portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic capital. Although it is known that joint market...

Persistent link: https://www.econbiz.de/10011299075