Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153436
Authors: 
Castrén, Olli
Fitzpatrick, Trevor
Sydow, Matthias
Year of Publication: 
2009
Series/Report no.: 
ECB Working Paper 1002
Abstract: 
In terms of regulatory and economic capital, credit risk is the most significant risk faced by banks. We implement a credit risk model - based on publicly available information - with the aim of developing a tool to monitor credit risk in a sample of large and complex banking groups (LCBGs) in the EU. The results indicate varying credit risk profiles across these LCBGs and over time. Furthermore, the results show that large negative shocks to real GDP have the largest impact on the credit risk profiles of banks in the sample. Notwithstanding some caveats, the results demonstrate the potential value of this approach for monitoring financial stability.
Subjects: 
macroeconomic shock measurement
Portfolio credit risk measurement
stress testing
JEL: 
C02
C19
C52
C61
E32
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.