Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/153436 
Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
ECB Working Paper No. 1002
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
macroeconomic shock measurement
Portfolio credit risk measurement
stress testing
JEL: 
C02
C19
C52
C61
E32
Dokumentart: 
Working Paper

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