Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/27669 
Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
Discussion Paper Series 2 No. 2008,17
Verlag: 
Deutsche Bundesbank, Frankfurt a. M.
Zusammenfassung: 
Stress testing has become a crucial point on the Basel II agenda, mainly as Pillar I estimates do not explicitly take portfolio concentration into account. We start from the credit portfolio of the German pension insurer being a cross-sectional representation of the German economy and subsequently compose three bank portfolios corresponding to a small, medium and large bank. We apply univariate and multivariate stress tests both by using the Internal Rating based (IRB) model and by a model that additionally allows for variation of correlation. In a severe multivariate stress scenario based on historical data for Germany IRB capital requirements increase by more than 80% with little differences between the credit portfolios. If stress testing is additionally applied to correlation, the Value-at-Risk increases by up to 300% and portfolio differences materialize.
Schlagwörter: 
Credit Portfolio
Exposure concentration
Stress Testing
Basel II
Economic Capital
JEL: 
G21
G28
Dokumentart: 
Working Paper

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