Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/162563
Authors: 
Tente, Natalia
von Westernhagen, Natalja
Slopek, Ulf
Year of Publication: 
2017
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 15/2017
Abstract: 
M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and macroprudential buffers in a unified, coherent framework. Its core element is an advanced credit portfolio model - SystemicCreditRisk - built upon a rich, non-linear dependence structure for interconnected bank portfolios. Incorporating numerous sector/country-specific systematic factors, the model focuses on credit default concentration risk as a major source of large losses that may have systemic impact. A test run using a sample of 12 systemically important German banks provides measures for systemic credit risk and the banks' contributions to it in both baseline and stress scenarios. Capital requirements calibrated to the results combine elements of Pillar 1 and Pillar 2, whereas macroprudential buffers can internalize the system's tail risk. The maximum model-based combined requirements range between 6.3% and 27.2% of credit RWA depending on the bank. A comparison with the reported capital figures suggests that there appears to be enough capital in the banking system, but its distribution might be suboptimal from a systemic point of view as the capital level of a number of banks might need improvement.
Subjects: 
Systemic Credit Risk
Tail Risk
Stress Testing
Microprudential Capital Requirements
Systemic Risk Buffer
O-SII Buffer
Hierarchical Archimedean Copula
JEL: 
C15
C23
C63
G21
G28
ISBN: 
978-3-95729-367-1
Document Type: 
Working Paper

Files in This Item:
File
Size





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