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https://hdl.handle.net/10419/27669
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Mager, Ferdinand | en |
dc.contributor.author | Schmieder, Christian | en |
dc.date.accessioned | 2009-08-12T07:31:13Z | - |
dc.date.available | 2009-08-12T07:31:13Z | - |
dc.date.issued | 2008 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aDeutsche Bundesbank |cFrankfurt a. M. | en |
dc.relation.ispartofseries | |aDiscussion Paper Series 2 |x2008,17 | en |
dc.subject.jel | G21 | en |
dc.subject.jel | G28 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Credit Portfolio | en |
dc.subject.keyword | Exposure concentration | en |
dc.subject.keyword | Stress Testing | en |
dc.subject.keyword | Basel II | en |
dc.subject.keyword | Economic Capital | en |
dc.subject.stw | Kreditrisiko | en |
dc.subject.stw | Portfolio-Management | en |
dc.subject.stw | Value at Risk | en |
dc.subject.stw | Kreditwürdigkeit | en |
dc.subject.stw | Deutschland | en |
dc.title | Stress testing of real credit portfolios | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 582165903 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:bubdp2:7448 | en |
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