Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/311117 
Year of Publication: 
2024
Series/Report no.: 
ECB Working Paper No. 2966
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
In this paper, we propose a new framework to jointly calibrate cyclical and structural capital requirements. For this, we integrate a non-linear macroeconomic model and a stress test model. In the macroeconomic model, the severity of the scenarios depends on the level of cyclical risk. Risk-related scenarios are used as inputs for the stress test model. Banks' capital losses derived from a scenario based on a reference level of risk are used to set the structural requirement. Additional losses associated with the current risk scenario are used to set the cyclical requirement. This approach provides a transparent method to strike the balance between cyclical and structural requirements.
Subjects: 
Financial vulnerability
macroprudential policy
non-linear models
capital requirements
JEL: 
C32
E51
E58
G01
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-6820-1
Document Type: 
Working Paper

Files in This Item:
File
Size





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