We develop a macroeconomic portfolio stress test that is specifically geared towards small and medium-sized banks. We … banks' capital ratios. Our results show that savings banks and cooperative banks prove to be very resilient to macroeconomic … stress, while more than 6% of our sample's credit banks "fail" the stress test, mainly due to their lack of capital. The main …

scenarios aims at studying the effects which may be brought about on the capital of the three representative banks by the …

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 sector. The framework can be used for the calibration of macro …-prudential capital charges, the assessment of systemic risks in the banking sector, and for the calculation of banks' interbank loss …