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• W2913856980 startingPage "52" @default.
• W2913856980 abstract "Contrary to the common approach of stress-testing under which banks are evaluated whether they are distressed, this empirical study chooses to move from the micro stress test approach to a wider new macro stress test category. By being able to stress testing the entire economy of the Eurozone, it will permit big banks to fail and, at the same time, will open room for new banking players to enter the sector, promoting the essence of a healthy destruction. The analysis performs a battery of stress tests, by implementing VaR, Cornish-Fisher VaR, Monte Carlo VaR, Expected Shortfall, Cornish-Fisher Expected Shortfall, and Monte Carlo Expected Shortfall. At the same time, it explicitly considers the new regulatory approach of IFRS9 to incorporate extreme values from forecasted series in the distributions. The analysis also performs two versions of stress tests, one including TARGET2 and one without it. The results document that future stress tests should include TARGET2 values in order to capture a better picture of the stressed economy. The findings from these stress tests clearly illustrate that although there has been a trough after the distress call of 2008, this trough ended. These are results derived without including the TARGET2 transfers. By including the TARGET2 transfers we receive a different picture that possibly acts as a protective mechanism against any future crisis. Caution is still advised, possibly due to some lingering imbalances within the Eurozone." @default.
• W2913856980 created "2019-02-21" @default.
• W2913856980 creator A5046234834 @default.
• W2913856980 creator A5053155513 @default.
• W2913856980 creator A5086949934 @default.
• W2913856980 date "2019-07-01" @default.
• W2913856980 modified "2023-10-02" @default.
• W2913856980 title "A new macro stress testing approach for financial realignment in the Eurozone" @default.
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