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Making sense of the comprehensive assessment. (2014). Steffen, Sascha ; Acharya, Viral V..
In: SAFE Policy Letters.
RePEc:zbw:safepl:32.

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Cocites: 50

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  1. Modeling your stress away. (2024). Stebunovs, Viktors ; Niepmann, Friederike.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002327.

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  2. Estimating systemic risk for non-listed euro-area banks. (2023). Engle, Robert ; Pizzeghello, Riccardo ; Parisi, Laura ; Manganelli, Simone ; Emambakhsh, Tina.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20232856.

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  3. Drivers of systemic risk: Do national and European perspectives differ?. (2019). Buch, Claudia M ; Tonzer, Lena ; Krause, Thomas.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:91:y:2019:i:c:p:160-176.

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  4. Market reactions to the ECB’s Comprehensive Assessment. (2016). de Haan, Jakob.
    In: Economics Letters.
    RePEc:eee:ecolet:v:140:y:2016:i:c:p:1-5.

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  5. Market reactions to the ECBs Comprehensive Assessment. (2015). de Haan, Jakob.
    In: DNB Working Papers.
    RePEc:dnb:dnbwpp:463.

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References

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  1. Acharya, V., and S. Steffen (2014). Falling Short of Expectations – Stress Testing the Eurozone Banking System. Working Paper, NYU Stern School of Business.
    Paper not yet in RePEc: Add citation now

  2. Acharya, V., R. Engle, and M. Richardson (2012). Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks. American Economic Review Papers & Proceedings 102:3, 59–64.

  3. Austria Belgium Cyprus France Germany Gre Ireland Italy Malta Portugal Slovakia Spain 0 50000 100000 150000 200000 SRISK (million euros) 0 2000 4000 6000 8000 Shortfall Adv. Scenario (million euros) Country Analysis SRISK vs. Shortfall Adv. Scenario 6 Figure 2 This figure plots SRISK as of 31 December 2013 against 3 year cumulative loan losses, trading losses and total losses (loan losses + trading losses) in the adverse scenario. SRISK and loss estimates are in million euros and aggregated over all public banks within each country.
    Paper not yet in RePEc: Add citation now
  4. Brownlees, C., and R. Engle (2013). Volatility, Correlation and Tails for Systemic Risk Measurement. Working Paper, NYU Stern School of Business.
    Paper not yet in RePEc: Add citation now
  5. ECB (2014). Aggregate Report on the Comprehensive Assessment. October 2014.
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  6. SRISK 5.5% VLAB is calculated assuming a 5.5% prudential capital ratio (which is the measure available on the NYU Stern Volatility Lab website) as of 31 December 2013. Shortfall 5.5% CET 1 is the shortfall to the 5.5% common equity Tier 1 capital ratio in the adverse scenario. Loan Losses are 3 year cumulative impairment losses on financial and non-financial assets in the banking book. Trading Losses are 3 year cumulative losses from the stress in the trading book. Total Losses is the sum of Loan Losses and Trading Losses. Losses are incurred in the adverse scenario. ** indicates significance at the 1% level.
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  7. SRISK 5.5% VLAB Shortfall 5.5% CET 1-0.058 Loan Losses 0.761** Trading Losses 0.937** Total Losses 0.827** 10 Appendix 1 This table reports descriptive statistics of the publicly listed banks included in the comprehensive assessment conducted by the European Central Bank (ECB) in 2014. C Tier 1 is the Core Tier 1 ratio and is Core Tier 1 Capital divided by Risk-Weighted Assets (RWA). Equity/Assets is book equity over total assets. Market-toBook is market value over book value of equity. Market Cap is the market value of equity measured in million euros. Assets are total assets and measured in million euros. All data are as of 31 December 2013.
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  8. Steffen, S. (2014). Robustness, validity and significance of the ECB's asset quality review and stress test exercise. Report requested by the European Parliament's Economic and Monetary Affairs Committee. October 2014. 5 Figure 1 This figure plots SRISK as of 31 December 2013 against shortfall in the adverse scenario. Shortfall estimates are in million euros and aggregated over all public banks within each country.

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