Publicação
Assessing banking risk in Europe: replication of and extension of “testing macroprudential stress tests: the risk of regulatory risk weights” by acharya, engle, and Pierret (2014) comparative macroprudential stress testing: assessing European banks in 2016
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | |
| dc.contributor.advisor | Eisert, Tim | |
| dc.contributor.author | Barranca, Remy | |
| dc.date.accessioned | 2026-03-09T11:14:33Z | |
| dc.date.available | 2026-03-09T11:14:33Z | |
| dc.date.issued | 2025-01-20 | |
| dc.date.submitted | 2024-12-17 | |
| dc.description.abstract | This report analyzes the findings of the article “Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights” by Acharya, Engle, and Pierret (2014), which concludes that regulatory stress tests often underestimate capital shortfalls compared to V-Lab, especially during times of economic stress, giving an overly optimistic view of banks’ stability. To evaluate this claim, the same comparative analysis from the article for the 2011 EBA stress tests and the V-Lab stress test was replicated and extended to 2016. The final results indeed corroborate the article's conclusion that risk-based regulatory capital shortfalls are underestimated, with asset-based capital shortfalls yielding more favorable outcomes. | eng |
| dc.identifier.tid | 204131430 | |
| dc.identifier.uri | http://hdl.handle.net/10362/201107 | |
| dc.language.iso | eng | |
| dc.relation | UID/ECO/00124/2013 | |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | |
| dc.subject | V-lab stress test | |
| dc.subject | EBA stress test | |
| dc.subject | Risk-weighted-based capital requirementss | |
| dc.subject | Asset-based capital requirements | |
| dc.subject | Capital shortfall | |
| dc.title | Assessing banking risk in Europe: replication of and extension of “testing macroprudential stress tests: the risk of regulatory risk weights” by acharya, engle, and Pierret (2014) comparative macroprudential stress testing: assessing European banks in 2016 | eng |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics |