Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/178559
Authors: 
Leventides, John
Donatou, Anna
Year of Publication: 
2015
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 8 [Year:] 2015 [Issue:] 2 [Pages:] 181-197
Abstract: 
In this paper, we study the impact of extreme events on the loan portfolios of the Greek banking system. These portfolios are grouped into three separate groups based on the size of the bank to which they belong, in particular, large, medium, and small size. A series of extreme scenarios was performed and the increase in capital requirements was calculated for each scenario based on the standardized and internal ratings approach of the Basel II accord. The results obtained show an increase of credit risk during the crisis periods, and the differentiation of risk depending on the size of the banking organization as well as the added capital that will be needed in order to hedge that risk. The execution of the scenarios aims at studying the effects which may be brought about on the capital of the three representative banks by the appearance of adverse events.
Subjects: 
banking regulation
credit risk
stress test
JEL: 
G21
G32
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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