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Stress test based on Oliver Wyman in Bank of Spain: an evaluation

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Stress test based on Oliver Wyman in Bank of Spain: an evaluation

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dc.contributor.author Climent Serrano, Salvador
dc.date.accessioned 2018-11-08T12:31:56Z
dc.date.available 2018-11-08T12:31:56Z
dc.date.issued 2016
dc.identifier.citation Climent Serrano, Salvador 2016 Stress test based on Oliver Wyman in Bank of Spain: an evaluation Banks and bank systems 11 3 64 72
dc.identifier.uri http://hdl.handle.net/10550/67918
dc.description.abstract This paper, based on econometric techniques, has done a study to improve the predictions of the stress test, concerning the estimation of impairment losses. The main results obtained are: 1) the impact of the explanatory variables on the impairment loss is different at stages of growth compared to times of recession; 2) there is a certain inertia of the dependent variable, but this inertia is different in intensity, and even the sign in the growth stages concerning the stages of recession; 3) of the explanatory variables, nominal GDP and equity are those that have a greater impact on the impairment loss; 4) finally, the two dummy variables that assess the impact of adjustment to market value of assets in the process of mergers and acquisitions that occurred in 2010, and regulatory changes implemented in 2012, have been statistically significant and with the expected signs.
dc.language.iso eng
dc.relation.ispartof Banks and bank systems, 2016, vol. 11, num. 3, p. 64-72
dc.subject Crisi financera global, 2007-2009
dc.subject Bancs centrals
dc.title Stress test based on Oliver Wyman in Bank of Spain: an evaluation
dc.type journal article es_ES
dc.date.updated 2018-11-08T12:31:57Z
dc.identifier.doi 10.21511/bbs.11(3).2016.07
dc.identifier.idgrec 115014
dc.rights.accessRights open access es_ES

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