Homar, Timotej; Kick, Heinrich; Salleo, Carmelo - 2016
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 … bank equity, the SRISK measure appears poorly matched as a benchmark for the supervisory stress test in Europe, which is …