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Measuring and stress-testing market-implied bank capital
Indergand, Martin; Jondeau, Eric; Fuster, Andreas - 2022
We propose a methodology for measuring the market-implied capital of banks by subtracting from the market value of equity (market capitalization) a credit-spread-based correction for the value of shareholders' default option. We show that without such a correction, the estimated impact of a...
Persistent link: https://www.econbiz.de/10013168743
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Models of financial stability and their application in stress tests
Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, … - 2017
We review heterogeneous agent-based models of financial stability and their application in stress tests. In contrast to the mainstream approach, which relies heavily on the rational expectations assumption and focuses on situations where it is possible to compute an equilibrium, this approach...
Persistent link: https://www.econbiz.de/10011906282
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Liquidity at Risk : Joint Stress Testing of Solvency and Liquidity
Cont, Rama - 2020
The traditional approach to the stress testing of financial institutions focuses on capital adequacy and solvency …. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which … may not be consistent with those used in solvency stress tests. We propose a structural framework for the joint stress …
Persistent link: https://www.econbiz.de/10012849054
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Liquidity at Risk : Joint Stress Testing of Solvency and Liquidity
Cont, Rama - 2020
The traditional approach to the stress testing of financial institutions focuses on capital adequacy and solvency …. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which … may not be consistent with those used in solvency stress tests. We propose a structural framework for the joint stress …
Persistent link: https://www.econbiz.de/10012828230
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Macroprudential liquidity stress test : an application to Indonesian banks
Taruna, Aditya Anta; Harun, Cicilia Anggadewi; Nattan, … - In: Journal of central banking theory and practice 9 (2020), pp. 165-187
transmission channels from macroeconomic and idiosyncratic (bank idiosyncratic risks) factors to liquidity runs. By using the … macroeconomic scenario transmission, we find the liquidity stress test to be more consistent with the solvency stress test. …
Persistent link: https://www.econbiz.de/10012306705
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Macroprudential stress test of the euro area banking system
Budnik-Gałązka, Katarzyna; Mozzanica, Mirco Balatti; … - 2019
results highlight the importance of the starting level of bank capital, bank asset quality, and banks' adjustments for the …
Persistent link: https://www.econbiz.de/10012033284
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Typology of Stress Testing : Microprudential vs. Macroprudential Stress Testing of Risk Exposures
Taskinsoy, John - 2019
unprecedented financial accident, the Trump administration wants to reverse the bank regulation rules that were put in place …
Persistent link: https://www.econbiz.de/10012889734
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Do stress tests matter? : evidence from the 2014 and 2016 stress tests
Georgescu, Oana-Maria; Groß, Marco; Kapp, Daniel; Kok … - 2017
results enhanced price discrimination as the impact on bank CDS spreads and equity prices tended to be stronger for the weaker …
Persistent link: https://www.econbiz.de/10011648333
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Supervisory Stress Tests
Hirtle, Beverly - 2014
This article describes the background, design choices and particular details of stress tests used as part of an overall supervisory regime; that is, their formal integration into the process of the ongoing prudential supervision of banks and other large financial institutions. We then describe...
Persistent link: https://www.econbiz.de/10013044327
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Stress testing at the Magyar Nemzeti Bank
Banai, Ádám; Hosszú, Zsuzsanna; Körmendi, Gyöngyi; … - 2014
Our study presents the top-down stress testing framework currently used by the Magyar Nemzeti Bank. We run separate … solvency and liquidity stress tests to analyse the ability of the banking system to absorb shocks and we present their results …
Persistent link: https://www.econbiz.de/10010232361