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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 2018
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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 and 2018. 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.
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V-Lab Stress Test EBA Stress Test Risk-weighted-based capital requirements Asset-based capital requirements Capital shortfalls