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- W1834787194 abstract "We build a stress testing framework to evaluate the sensitivity of banks’ profitability to plausible but severe adverse macroeconomic shocks. Specifically, we test the resilience of French banks using supervisory data over the period 1993-2009. First, we identify the macroeconomic and financial variables (GDP growth, interest rate maturity spread, stock market’s volatility) and bank-specific variables (size, capital ratio, ratio of non interest income to assets) that significantly affect French banks’ profitability. Second, our macroeconomic stress testing exercises based on a simulation of macroeconomic variables show that French banks’ profitability is resilient to major adverse macroeconomic scenarios. Specifically, our findings highlight that even severe recessions would leave the French banking system profitable." @default.
- W1834787194 created "2016-06-24" @default.
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- W1834787194 date "2010-01-01" @default.
- W1834787194 modified "2023-10-06" @default.
- W1834787194 title "Stress Testing Banks' Profitability: The Case of French Banks" @default.
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- W1834787194 doi "https://doi.org/10.2139/ssrn.1728687" @default.
- W1834787194 hasPublicationYear "2010" @default.
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