considered by the EBA methodological approach. By adding a three-dimension set of explanatory variables, entity-, banking sector … the role played by bank-level variables, banking sector features in each country, and the specific characteristics of the …/substitution effects of both bank- and portfolio-level variables with the characteristics of the banking sector when explaining credit risk …

credit standards more than healthier banks, especially for firms with a higher default risk. We also show how credit …

This paper derives indicators of the severity and structure of banking system risk from asymptotic interdependencies … the euro area, we can also compare banking system stability between the two largest economies in the world. For Europe we …

The Banking Euro Area Stress Test (BEAST) is a large scale semi-structural model developed to assess the resilience of … the euro area banking system from a macroprudential perspective. The model combines the dynamics of a high number of euro … credit supply conditions. When applied to a stress test of the euro area banking system, the model reveals higher system …