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Making sense of the EU wide stress test: a comparison with the SRISK approach

Listed author(s):
  • Salleo, Carmelo
  • Homar, Timotej
  • Kick, Heinrich

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 JEL Classification: C21, G01, G21

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File URL: https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1920.en.pdf
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Paper provided by European Central Bank in its series Working Paper Series with number 1920.

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Date of creation: Jun 2016
Handle: RePEc:ecb:ecbwps:20161920
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  1. Zou, Hui, 2006. "The Adaptive Lasso and Its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1418-1429, December.
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  4. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
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  6. Borio, Claudio & Drehmann, Mathias & Tsatsaronis, Kostas, 2014. "Stress-testing macro stress testing: Does it live up to expectations?," Journal of Financial Stability, Elsevier, vol. 12(C), pages 3-15.
  7. Acharya, Viral V. & Steffen, Sascha, 2014. "Falling short of expectations? Stress-testing the European banking system," CEPS Papers 8803, Centre for European Policy Studies.
  8. Viral Acharya & Robert Engle & Matthew Richardson, 2012. "Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks," American Economic Review, American Economic Association, vol. 102(3), pages 59-64, May.
  9. Rodrigo Alfaro & Mathias Drehmann, 2009. "Macro stress tests and crises: what can we learn?," BIS Quarterly Review, Bank for International Settlements, December.
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