Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154353
Authors: 
Homar, Timotej
Kick, Heinrich
Salleo, Carmelo
Year of Publication: 
2016
Series/Report no.: 
ECB Working Paper 1920
Abstract: 
We analyse the SRISK measure with respect to its usage as a benchmark for the ECB/EBA 2014 stress test. By regressing the ECB/EBA stress test impact and the SRISK stress impact on a set of factors that are commonly associated with bank credit losses and bank vulnerability, we find that the ECB/EBA stress impact is consistent with findings in the literature on credit losses. In contrast, the SRISK measure bears much less relation to these factors; it is largely driven by the banks’ leverage ratio. These differences are deeply rooted in the construction of the respective measures. With its focus on losses to bank equity, the SRISK measure appears poorly matched as a benchmark for the supervisory stress test in Europe, which is centred on losses to banks’ total assets.
Subjects: 
Asset Quality Review
SRISK
stress test evaluation
JEL: 
C21
G01
G21
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-2168-8
Document Type: 
Working Paper

Files in This Item:
File
Size





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