Stress-testing German credit portfolios

Ferdinand Mager and Christian Schmieder

Journal of Risk Model Validation

Abstract: ABSTRACT This study deals with stress testing of realistic corporate credit portfolios of individual average small, medium and large banks in Germany. We apply stress tests of single and multiple credit risk parameters by using the internal ratings based (IRB) model and a model that additionally allows for variation of credit correlations. In a severe multiple-parameter stress scenario based on historical data, IRB minimum capital requirements increase by more than 80% with little difference between the credit portfolios. If stress testing is applied to correlation as well, the credit value-at-risk can increase by up to 300% and portfolio differences materialize.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-risk-model-validat ... an-credit-portfolios (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ5:2161269

Access Statistics for this article

More articles in Journal of Risk Model Validation from Journal of Risk Model Validation
Bibliographic data for series maintained by Thomas Paine ().