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Macro-model-based stress testing of Basel II capital requirements

Author: Esa Jokivuolle; Kimmo Virolainen; Oskari Vähämaa
Publisher: Helsinki : Suomen Pankki, 2008.
Series: Bank of Finland Discussion papers, 17/2008.
Edition/Format:   eBook : Document : English
Database:WorldCat
Summary:
Basel II framework requires banks to conduct stress tests on their potential future minimum capital requirements and consider 'at least the effect of mild recession scenarios'. We propose a stress testing framework for minimum capital requirements in which banks' corporate credit risks are modeled with macroeconomic variables. We can thus define scenarios such as a mild recession and consider the resulting credit  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Esa Jokivuolle; Kimmo Virolainen; Oskari Vähämaa
ISBN: 9789524624510 9524624516 9789524624503 9524624508
OCLC Number: 430162890
Description: 1 online resource (Text.)
Series Title: Bank of Finland Discussion papers, 17/2008.
Responsibility: Esa Jokivuolle, Kimmo Virolainen, Oskari Vähämaa.

Abstract:

Basel II framework requires banks to conduct stress tests on their potential future minimum capital requirements and consider 'at least the effect of mild recession scenarios'. We propose a stress testing framework for minimum capital requirements in which banks' corporate credit risks are modeled with macroeconomic variables. We can thus define scenarios such as a mild recession and consider the resulting credit risk developments and consequent changes in minimum capital requirements. We also emphasize the importance of stress testing future minimum capital requirements jointly with credit losses. Our illustrative results based on Finnish data underline the importance of such joint modeling. We also find that stress tests based on scenarios envisaged by regulators are not likely to imply binding capital constraints on banks.

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