Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/227863 
Autor:innen: 
Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
Danmarks Nationalbank Working Papers No. 145
Verlag: 
Danmarks Nationalbank, Copenhagen
Zusammenfassung: 
This paper studies the relationship between the riskiness of banks' assets and their average risk weight. Banks' initial risk weights explain about half of the variation in projected credit losses in the 2018 European Banking Authority stress test. In contrast to related papers, this paper also shows a statistically and economically significant relationship between risk weights and estimates of banks' asset volatilities based on market data. However, I also find issues with risk weights as measures of risk. They do a worse job of explaining future credit losses than do asset volatilities, especially in the case of banks using internal models.
Schlagwörter: 
Financial regulation
stress tests
credit risk
JEL: 
G20
G28
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
5.41 MB





Publikationen in EconStor sind urheberrechtlich geschützt.