Arbeitspapier
Making sense of the EU wide stress test: a comparison with the SRISK approach
We analyse the SRISK measure with respect to its usage as a benchmark for the ECB/EBA 2014 stress test. By regressing the ECB/EBA stress test impact and the SRISK stress impact on a set of factors that are commonly associated with bank credit losses and bank vulnerability, we find that the ECB/EBA stress impact is consistent with findings in the literature on credit losses. In contrast, the SRISK measure bears much less relation to these factors; it is largely driven by the banks’ leverage ratio. These differences are deeply rooted in the construction of the respective measures. With its focus on losses to bank equity, the SRISK measure appears poorly matched as a benchmark for the supervisory stress test in Europe, which is centred on losses to banks’ total assets.
- ISBN
-
978-92-899-2168-8
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1920
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Financial Crises
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
Asset Quality Review
SRISK
stress test evaluation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Homar, Timotej
Kick, Heinrich
Salleo, Carmelo
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2016
- DOI
-
doi:10.2866/10852
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Homar, Timotej
- Kick, Heinrich
- Salleo, Carmelo
- European Central Bank (ECB)
Entstanden
- 2016
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