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dc.contributor.authorDuellmann, Klausen
dc.contributor.authorKick, Thomasen
dc.date.accessioned2012-03-15-
dc.date.accessioned2012-03-20T16:41:56Z-
dc.date.available2012-03-20T16:41:56Z-
dc.date.issued2012-
dc.identifier.isbn978-3-86558-797-8en
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
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aBundesbank Discussion Paper |x04/2012en
dc.subject.jelG21en
dc.subject.jelG33en
dc.subject.jelC13en
dc.subject.jelC15en
dc.subject.ddc330en
dc.subject.keywordAsset correlationen
dc.subject.keywordportfolio credit risken
dc.subject.keywordmacroeconomic stress testsen
dc.subject.stwKapitalkostenen
dc.subject.stwSchocken
dc.subject.stwGroßbanken
dc.subject.stwKreditrisikoen
dc.subject.stwKreditwürdigkeiten
dc.subject.stwBankenkriseen
dc.subject.stwSystemrisikoen
dc.subject.stwSchätzungen
dc.subject.stwDeutschlanden
dc.titleStress testing German banks against a global cost-of-capital shock-
dc.typeWorking Paperen
dc.identifier.ppn688561276en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdps:042012en

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