Publicação
Stress test methodologies under scrutiny: examining the interplay of regulatory and market risk metrics in Europe – a comparative analysis of 2011 and 2021
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Eisert, Tim | |
| dc.contributor.author | Duckert, Geronimo | |
| dc.date.accessioned | 2025-08-11T12:22:55Z | |
| dc.date.available | 2025-08-11T12:22:55Z | |
| dc.date.issued | 2025-01-23 | |
| dc.date.submitted | 2025-01-23 | |
| dc.description.abstract | This thesis replicates and extends the analysis from “Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights” by Acharya, Engle, and Pierret (2014). It investigates the relationship between capital shortfall metrics and the effectiveness of risk factors in predicting stress-induced risks, using EBA stress tests from 2011 and 2021 alongside market-based metrics like SRISK. The findings validate critiques of risk-weighted measures, highlight the alignment of leverage-based and market-based metrics, and advocate for combining market-based and regulatory approaches. Additionally, the analysis suggests the successful implementation of regulatory standards, such as Basel III, and their impact on regulatory stress tests. | pt_PT |
| dc.identifier.tid | 203961617 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/186296 | |
| dc.language.iso | eng | pt_PT |
| dc.relation | UID/ECO/00124/2013 | pt_PT |
| dc.subject | Systemic risk | pt_PT |
| dc.subject | Stress test | pt_PT |
| dc.subject | Regulation | pt_PT |
| dc.subject | Capital shortfall | pt_PT |
| dc.subject | Replication | pt_PT |
| dc.title | Stress test methodologies under scrutiny: examining the interplay of regulatory and market risk metrics in Europe – a comparative analysis of 2011 and 2021 | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Master’s degree in Finance from the Nova School of Business and Economics | pt_PT |