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Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/27669
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Mager, Ferdinand | | en_US |
| dc.contributor.author | | Schmieder, Christian | | en_US |
| dc.date.accessioned | | 2009-08-12T07:31:13Z | | - |
| dc.date.available | | 2009-08-12T07:31:13Z | | - |
| dc.date.issued | | 2008 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/27669 | | - |
| dc.description.abstract | | Stress 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.iso | | eng | | en_US |
| dc.relation.ispartofseries | | Discussion Paper, Series 2: Banking and Financial Supervision 2008,17 | | en_US |
| dc.subject.jel | | G21 | | en_US |
| dc.subject.jel | | G28 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Credit Portfolio | | en_US |
| dc.subject.keyword | | Exposure concentration | | en_US |
| dc.subject.keyword | | Stress Testing | | en_US |
| dc.subject.keyword | | Basel II | | en_US |
| dc.subject.keyword | | Economic Capital | | en_US |
| dc.subject.stw | | Kreditrisiko | | en_US |
| dc.subject.stw | | Portfolio-Management | | en_US |
| dc.subject.stw | | Value at Risk | | en_US |
| dc.subject.stw | | Kreditwürdigkeit | | en_US |
| dc.subject.stw | | Deutschland | | en_US |
| dc.title | | Stress testing of real credit portfolios | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 582165903 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:bubdp2:7448 | | - |
| Appears in Collections: | | Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank
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