Identifying the relevant risk factors and their interdependence is central to understanding the risk exposures and … vulnerabilities of a financial institution. It is needed for risk management, solvency assessment and stress testing. We assemble a … unique dataset of risk factors relevant for insurers which are different than for banks, although they share exposure to …

This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and … probabilities are less exposed to model and estimation risk. In addition, the risk horizon over which the stress default … extensive robustness checks for model-based credit risk stress tests. …

probabilities, on reduced-form credit risk stress testing. This type of uncertainty is omnipresent in most macroeconomic stress … testing applications due to short time series for banks' portfolio risk parameters and highly collinear macroeconomic … distributions and implied capital shortfalls by conducting a full-edged top-down credit risk stress test for over 1,500 German banks …

building a dynamic stochastic general equilibrium model linked to global climate and a catastrophe risk model specifically for … drawing strong conclusions about the relevance of climate risk, as the model focused only on typhoons’ physical capital …

integration of new datasets and model validation efforts as well as the expanded use of stress-testing methodologies in risk and …

This paper studies the relationship between the riskiness of banks' assets and their average risk weight. Banks …' initial risk weights explain about half of the variation in projected credit losses in the 2018 European Banking Authority … between risk weights and estimates of banks' asset volatilities based on market data. However, I also find issues with risk …

Addressing recent calls by European regulatory and supervisory authorities, we develop a new bottom-up climate risk … default risk of STOXX Europe 600 firms. For about 5% of the sample firms, we find asset devaluation shocks larger than 30% and … stress test on credit risk based on these results, we find a decrease in capital ratios between $$-1.2$$and $$-1 …

costs. The importance of applying a good liquidity risk measurement system becomes apparent. The present paper provides an … approach to the measurement of liquidity maturity transformation risk within a stress testing framework, for middle-sized banks …. The costs of liquidity arising due to a downturn in refinancing conditions are calculated by using modern risk measures …

Stress testing has become a tool of choice in banking for risk managers and regulators alike, and it is used more … widely as a way to assess resilience to severely adverse events. Yet even the most creative risk manager would have been …

the US banking stress tests on banks' equity prices, credit risk, systematic risk, and systemic risk during the 2009 … spreads declined in response to the disclosure of stress test results. We also find that bank systematic risk, as measured by … systemic risk …