Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/114177
Authors: 
Busch, Ramona
Koziol, Philipp
Mitrovic, Marc
Year of Publication: 
2015
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 23/2015
Abstract: 
We develop a macroeconomic portfolio stress test that is specifically geared towards small and medium-sized banks. We combine a credit risk stress test which simulates credit impairments via a CreditMetrics type multi-factor portfolio model with an income stress test in the form of dynamic panel data regressions. Based on a stress scenario that extends experience of the financial crisis by integrating the current low interest rate environment, we analyse the stress impact on banks' capital ratios. Our results show that savings banks and cooperative banks prove to be very resilient to macroeconomic stress, while more than 6% of our sample's credit banks "fail" the stress test, mainly due to their lack of capital. The main stress drivers prove to be credit impairments rather than other net income components.
Subjects: 
Macro Stress Tests
Macroprudential Supervision
Small and Medium-sized Banks
Income Stress Test
Credit Risk
JEL: 
C13
C15
G21
G33
ISBN: 
978-3-95729-172-1
Document Type: 
Working Paper

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