Artículo de revista ; This article analyzes the data on credit exposures and risk weighted assets (RWAs) disclosed by the European Banking Authority as result of the comprehensive assessment of European banks in 2014. We examine the sectoral composition of the credit portfolio and study...

Incluye bibliografía ; This article estimates a general credit risk model with both macroeconomic and latent credit factors for Spanish banks during the period 2004-2010. The proposed framework allows to estimate with bank level data both the standard credit risk model of Basel II and...

Este artículo contiene el primer análisis del Banco de España sobre el impacto en el sector bancario de los riesgos de transición energética, utilizando para ello su marco interno de pruebas de resistencia Forward Looking Exercise on Spanish Banks (FLESB). Se consideran distintos escenarios...

This article contains the Banco de España’s initial analysis of the energy transition risks’ impact on the banking sector, using its Forward Looking Exercise on Spanish Banks (FLESB) in-house stress-testing framework. Different macroeconomic scenarios, linked to higher prices and the...

The Banco de España uses various microeconomic models, mostly of an empirical nature, to support its decision-making in relation to the analysis of economic and financial risks and economic policy advice. These models, which complement those of a macroeconomic nature, seeks to identify the...

El Banco de España utiliza distintos modelos de carácter microeconómico, mayoritariamente de naturaleza empírica, para sustentar su toma de decisiones en relación con el análisis de los riesgos económicos y financieros y del asesoramiento de la política económica. Esta familia de...

This paper first identifies the level of cyclical systemic risks in Spain, also calibrating their impact on the solvency of the banking system, and, second, assesses the costs and benefits of the countercyclical use of capital requirements. The first part of the paper is based on an integrated...

Este documento presenta un conjunto amplio de análisis para, en primer lugar, identificar el nivel de los riesgos sistémicos cíclicos en España y calibrar su impacto sobre la solvencia del sistema bancario y, adicionalmente, valorar los costes y beneficios del uso contracíclico de los...