欧洲央行-缓冲风险：通过压力测试设定周期性和结构性银行资本要求（英）-2024-27页

WorkingPaperSeriesRisk-tobuffer:settingcyclicalandstructuralbankscapitalrequirementsthroughstresstestsCyrilCouaillier,ValerioScaloneDisclaimer:ThispapershouldnotbereportedasrepresentingtheviewsoftheEuropeanCentralBank(ECB).TheviewsexpressedarethoseoftheauthorsanddonotnecessarilyreflectthoseoftheECB.No2966AbstractInthispaper,weproposeanewframeworktojointlycalibratecyclicalandstructuralcapitalrequirements.Forthis,weintegrateanon-linearmacroeconomicmodelandastresstestmodel.Inthemacroeconomicmodel,theseverityofthescenariosdependsonthelevelofcyclicalrisk.Risk-relatedscenariosareusedasinputsforthestresstestmodel.Banks’capitallossesderivedfromascenariobasedonareferencelevelofriskareusedtosetthestructuralrequirement.Additionallossesassociatedwiththecurrentriskscenarioareusedtosetthecyclicalrequirement.Thisapproachprovidesatransparentmethodtostrikethebalancebetweencyclicalandstructuralrequirements.Keywords:Financialvulnerability,macroprudentialpolicy,non-linearmodels,capitalrequire-ments.JELCodes:C32,E51,E58,G01.ECBWorkingPaperSeriesNo29661Non-TechnicalSummaryAftertheGlobalFinancialCrisis,theBaselIIIregulationsubstantiallyraisedbankcapitalrequirementsandintroducedadistinctionbetweenstructuralandcyclicalrequirements.Struc-turalrequirementsaimatmakingbanksmoreresilienttorisksrelatedtostructuralfeaturesofthebankingsyste...