Eisert, TimBürger, Andreas2025-04-022025-04-022025-01-232024-12-16http://hdl.handle.net/10362/181850This 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.engSystemic riskStress testRegulationCapital shortfallReplicationmaster thesis203926528