Germany: Technical Note on Stress Testing
December 23, 2011
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This note summarizes the stress tests undertaken for the German banking system as part of the Financial Sector Assessment Program (FSAP) update. Solvency tests for the German banking system assessed medium-term vulnerabilities under two adverse macroeconomic scenarios. The tests considered a variety of measures of soundness, and took into account funding costs, sovereign risk, upcoming changes in the regulatory rules, and behavioral changes of banks. The test results revealed that German banks are robust against many shocks, and that important vulnerabilities still remain.
Subject: Banking, Basel III, Capital adequacy requirements, Financial regulation and supervision, Financial sector policy and analysis, National accounts, Personal income, Stress testing, Systemic risk
Keywords: bank, bank liability, bank's CDS, banking system, Basel III, capital, Capital adequacy requirements, capital ratio, conservation buffer, CR, credit risk, debt holder, Global, Grouping bank, ISCR, large bank, percentage share, Personal income, put option, sensitivity analysis, Stress testing, Systemic risk, Tier 1
Pages:
66
Volume:
2011
DOI:
Issue:
371
Series:
Country Report No. 2011/371
Stock No:
1DEUEA2011011
ISBN:
9781463928568
ISSN:
1934-7685
