Busch, Ramona; Koziol, Philipp; Mitrovic, Marc - 2015
We develop a macroeconomic portfolio stress test that is specifically geared towards small and medium-sized banks. We … combine a credit risk stress test which simulates credit impairments via a CreditMetrics type multi-factor portfolio model … with an income stress test in the form of dynamic panel data regressions. Based on a stress scenario that extends …