期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2016
出版社：European Central Bank
摘要：We analyse the SRISK measure with respect to its usage as a benchmark for the ECB/EBA 2014stress test. By regressing the ECB/EBA stress test impact and the SRISK stress impact on a set offactors that are commonly associated with bank credit losses and bank vulnerability, we find that theECB/EBA stress impact is consistent with findings in the literature on credit losses. In contrast, theSRISK measure bears much less relation to these factors; it is largely driven by the banks’ leverageratio. These differences are deeply rooted in the construction of the respective measures. With itsfocus on losses to bank equity, the SRISK measure appears poorly matched as a benchmark for thesupervisory stress test in Europe, which is centred on losses to banks’ total assets
关键词：SRISK; stress test evaluation; Asset Quality Review
