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dc.contributor.authorDuellmann, Klausen_US
dc.contributor.authorKick, Thomasen_US
dc.date.accessioned2012-03-15en_US
dc.date.accessioned2012-03-20T16:41:56Z-
dc.date.available2012-03-20T16:41:56Z-
dc.date.issued2012en_US
dc.identifier.isbn978-3-86558-797-8en_US
dc.identifier.urihttp://hdl.handle.net/10419/56020-
dc.description.abstractThis paper introduces a stress test of the corporate credit portfolios of 24 large German banks by a two-stage approach: First, a macro-econometric model is used to forecast the impact of a substantial increase of the user cost of business capital for firms worldwide on three particularly export-oriented industry sectors in Germany. Second, the impact of this economic multi-sector stress on banks' credit portfolios is captured by a state-of-theart CreditMetrics-type portfolio model with sector-dependant unobservable risk factors as drivers of the systematic risk. The German credit register provides us with access to highly granular risk information on loan volumes and banks' internal estimates of default probabilities which is key for an accurate assessment of the impact of the stress scenario. We find that the increase of the capital charge for the unexpected loss needs to be considered together with the increase in banks' expected losses in order to assess the change of banks' capital ratios. We also confirm that highly granular information on the level of borrowerspecific probabilities of default has a significant impact on the outcome of the stress test.en_US
dc.language.isoengen_US
dc.publisherDt. Bundesbank Frankfurt, M.en_US
dc.relation.ispartofseriesDiscussion Papers, Deutsche Bundesbank 04/2012en_US
dc.subject.jelG21en_US
dc.subject.jelG33en_US
dc.subject.jelC13en_US
dc.subject.jelC15en_US
dc.subject.ddc330en_US
dc.subject.keywordAsset correlationen_US
dc.subject.keywordportfolio credit risken_US
dc.subject.keywordmacroeconomic stress testsen_US
dc.subject.stwKapitalkostenen_US
dc.subject.stwSchocken_US
dc.subject.stwGroßbanken_US
dc.subject.stwKreditrisikoen_US
dc.subject.stwKreditwürdigkeiten_US
dc.subject.stwBankenkriseen_US
dc.subject.stwSystemrisikoen_US
dc.subject.stwSchätzungen_US
dc.subject.stwDeutschlanden_US
dc.titleStress testing German banks against a global cost-of-capital shocken_US
dc.typeWorking Paperen_US
dc.identifier.ppn688561276en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:bubdps:042012-
Appears in Collections:Discussion Papers, Deutsche Bundesbank

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