Many a little makes a mickle: Stress testing small and medium-sized German banks

被引：10

作者：

Busch, Ramona ^{[1
]}

Koziol, Philipp ^{[1
,2
]}

Mitrovic, Marc ^{[1
]}

机构：

[1] Deutsch Bundesbank, Postfach 10 06 02, D-60006 Frankfurt, Germany

[2] European Cent Bank, Sonnemannstr 20, D-60314 Frankfurt, Germany

来源：

QUARTERLY REVIEW OF ECONOMICS AND FINANCE | 2018年 / 68卷

关键词：

Macro stress tests; Macroprudential supervision; Small and medium-sized banks; Income stress test; Credit risk; CREDIT RISK; FINANCIAL-MARKETS; DETERMINANTS; IMPACT; POLICY; GMM;

D O I：

10.1016/j.qref.2017.08.001

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We develop a macroeconomic portfolio stress test that is specifically geared towards small and medium-sized German 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 data regressions. Based on a stress scenario that extends experience of the financial crisis by integrating the current low-interest-rate environment, we analyse the stress impact on banks' capital ratios. Our results show that German small and medium sized banks prove to be very resilient to macroeconomic stress. Furthermore, the main stress drivers prove to be credit impairments rather than other net income components. (C) 2017 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.

引用

页码：237 / 253

页数：17

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