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Stress test methodologies under scrutiny: examining the interplay of regulatory and market risk metrics in Europe - a comparative analysis of 2011 and 2018
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| 2.58 MB | Adobe PDF |
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Resumo(s)
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 2018 alongside market-based metrics
like SRISK. The main findings of both years 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.
Descrição
Palavras-chave
Systemic risk Stress test Regulation Capital shortfall Replication