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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 2021
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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.
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Palavras-chave
Systemic risk Stress test Regulation Capital shortfall Replication