Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171804
Authors: 
Korsgaard, Søren
Year of Publication: 
2017
Series/Report no.: 
Danmarks Nationalbank Working Papers 110
Abstract: 
Central banks and supervisory authorities regularly conduct stress tests of banks. As losses accumulate in stress scenarios, banks' equity position worsens, and they must pay higher interest rates to retain funding. I explore how variations of Merton-type models can be used to measure bank risk, and then examine the link between various risk measures and funding costs. Finally, I outline a method for incorporating funding cost increases into top-down stress tests.
Abstract (Translated): 
Centralbanker og tilsynsmyndigheder foretager regelmæssigt stresstest af banksektoren. I takt med at tab akkumuleres i stressscenarier, svækkes bankernes solvens, og de skal betale en højere rente på deres gæld. Jeg undersøger en række risikomål, som er udledt fra Merton-lignende modeller, og undersøger sammenhængen mellem disse risikomål og bankers finansieringsomkostninger. Endelig beskriver jeg en metode til at indarbejde stigninger i fundingomkostninger i en "top-down" stresstest.
Subjects: 
Stress testing
Funding costs
Risk measurement
JEL: 
G12
G21
G31
G38
Document Type: 
Working Paper

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