English, Article, Journal or magazine article edition: Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks. Olli Castrén; Trevor Fitzpatrick; Matthias Sydow

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Bookmark: http://trove.nla.gov.au/version/66687
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks.
Author
  • Olli Castrén
  • Trevor Fitzpatrick
  • Matthias Sydow
Physical Description
  • preprint
Notes
  • In terms of regulatory and economic capital, credit risk is the most significant risk faced by banks. We implement a credit risk model - based on publicly available information - with the aim of developing a tool to monitor credit risk in a sample of large and complex banking groups (LCBGs) in the EU. The results indicate varying credit risk profiles across these LCBGs and over time. Furthermore, the results show that large negative shocks to real GDP have the largest impact on the credit risk profiles of banks in the sample. Notwithstanding some caveats, the results demonstrate the potential value of this approach for monitoring financial stability. JEL Classification: C02, C19, C52, C61, E32.
  • Portfolio credit risk measurement, stress testing, macroeconomic shock measurement.
  • RePEc:ecb:ecbwps:200901002
Language
  • English
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