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Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank >

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dc.contributor.authorMager, Ferdinanden_US
dc.contributor.authorSchmieder, Christianen_US
dc.date.accessioned2009-08-12T07:31:13Z-
dc.date.available2009-08-12T07:31:13Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/27669-
dc.description.abstractStress testing has become a crucial point on the Basel II agenda, mainly as Pillar I estimates do not explicitly take portfolio concentration into account. We start from the credit portfolio of the German pension insurer being a cross-sectional representation of the German economy and subsequently compose three bank portfolios corresponding to a small, medium and large bank. We apply univariate and multivariate stress tests both by using the Internal Rating based (IRB) model and by a model that additionally allows for variation of correlation. In a severe multivariate stress scenario based on historical data for Germany IRB capital requirements increase by more than 80% with little differences between the credit portfolios. If stress testing is additionally applied to correlation, the Value-at-Risk increases by up to 300% and portfolio differences materialize.en_US
dc.language.isoengen_US
dc.relation.ispartofseriesDiscussion Paper, Series 2: Banking and Financial Supervision 2008,17en_US
dc.subject.jelG21en_US
dc.subject.jelG28en_US
dc.subject.ddc330en_US
dc.subject.keywordCredit Portfolioen_US
dc.subject.keywordExposure concentrationen_US
dc.subject.keywordStress Testingen_US
dc.subject.keywordBasel IIen_US
dc.subject.keywordEconomic Capitalen_US
dc.subject.stwKreditrisikoen_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwValue at Risken_US
dc.subject.stwKreditwürdigkeiten_US
dc.subject.stwDeutschlanden_US
dc.titleStress testing of real credit portfoliosen_US
dc.typeWorking Paperen_US
dc.identifier.ppn582165903en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:bubdp2:7448-
Appears in Collections:Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank

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