Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/311117 
Erscheinungsjahr: 
2024
Schriftenreihe/Nr.: 
ECB Working Paper No. 2966
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
Financial vulnerability
macroprudential policy
non-linear models
capital requirements
JEL: 
C32
E51
E58
G01
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-6820-1
Dokumentart: 
Working Paper

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