| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12624 |
| DP12624 Modeling Your Stress Away | |
| Friederike Niepmann; Viktors Stebunovs | |
| 发表日期 | 2018-01-19 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We investigate systematic changes in banks’ projected credit losses between the 2014 and 2016 EBA stress tests, employing methodology from Philippon et al. (2017). We find that projected credit losses were smoothed across the tests through systematic model adjustments. Those banks whose losses would have increased the most from 2014 to 2016 due to changes in the supervisory scenarios—keeping the models constant—saw the largest decrease in losses due to model changes. Model changes were more pronounced for banks that rely more on the Internal Ratings-Based approach, and they explain the cross-section of market responses to the release of the 2016 results. Stock prices and CDS spreads increased more for banks with larger reductions in projected credit losses due to model changes, as investors apparently did not interpret lower loan losses as reflecting mainly a decrease in credit risk but, instead, as a sign of lower capital requirements going forward. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Stress tests Financial institutions Regulation Credit risk models |
| URL | https://cepr.org/publications/dp12624 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541436 |
| 推荐引用方式 GB/T 7714 | Friederike Niepmann,Viktors Stebunovs. DP12624 Modeling Your Stress Away. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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