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

Carmelo Salleo, Timotej Homar and Heinrich Kick

No 1920, Working Paper Series from European Central Bank

Abstract: 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

Keywords: Asset Quality Review; SRISK; stress test evaluation (search for similar items in EconPapers)
Date: 2016-06
New Economics Papers: this item is included in nep-ban, nep-cba, nep-eec and nep-ger
Note: 1654951
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20161920

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