Premium
M‐PRESS‐CreditRisk: Microprudential and Macroprudential Capital Requirements for Credit Risk under Systemic Stress
Author(s) -
TENTE NATALIA,
WESTERNHAGEN NATALJA VON,
SLOPEK ULF
Publication year - 2019
Publication title -
journal of money, credit and banking
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.763
H-Index - 108
eISSN - 1538-4616
pISSN - 0022-2879
DOI - 10.1111/jmcb.12636
Subject(s) - credit risk , capital requirement , capital (architecture) , stress testing (software) , systemic risk , portfolio , capital adequacy ratio , financial system , business , computer science , economics , actuarial science , finance , financial crisis , geography , macroeconomics , microeconomics , profit (economics) , archaeology , incentive , programming language
M‐PRESS‐CreditRisk is a novel stress testing approach that can help authorities gauge banks' capital adequacy related to credit risk. For the first time, it combines the assessment of microprudential capital requirements under Pillars 1 and 2 and macroprudential buffers in a unified, coherent framework. Its core element is an advanced credit portfolio model—SystemicCreditRisk—built upon a rich, nonlinear dependence structure for correlated bank portfolios. The model is applied to a sample of 12 systemically important German banking groups and delivers measures for systemic credit risk and the banks' contributions to it in both baseline and stress scenarios.