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dc.contributor.authorMager, Ferdinanden
dc.contributor.authorSchmieder, Christianen
dc.date.accessioned2009-08-12T07:31:13Z-
dc.date.available2009-08-12T07:31:13Z-
dc.date.issued2008-
dc.identifier.urihttp://hdl.handle.net/10419/27669-
dc.description.abstractStress 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.en
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 2 |x2008,17en
dc.subject.jelG21en
dc.subject.jelG28en
dc.subject.ddc330en
dc.subject.keywordCredit Portfolioen
dc.subject.keywordExposure concentrationen
dc.subject.keywordStress Testingen
dc.subject.keywordBasel IIen
dc.subject.keywordEconomic Capitalen
dc.subject.stwKreditrisikoen
dc.subject.stwPortfolio-Managementen
dc.subject.stwValue at Risken
dc.subject.stwKreditwürdigkeiten
dc.subject.stwDeutschlanden
dc.titleStress testing of real credit portfolios-
dc.typeWorking Paperen
dc.identifier.ppn582165903en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp2:7448en

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