EBA-aligned research paper introducing Deep-Stress, a deep learning framework for dynamic balance sheet stress testing, improving Capital Adequacy Ratio forecasting accuracy by capturing non-linear macro-financial relationships and enhancing early warning systems for banking resilience.
EBA-linked paper explores applying the Pre-Commitment Approach (PCA) to bottom-up bank stress tests to mitigate moral hazard, proposing monetary penalties for underestimated risk forecasts under adverse scenarios, aligning bank and supervisor incentives.
Study assessing the severity of EBA 2016 and 2018 macroeconomic stress test scenarios for Italy using a joint probability approach, revealing low likelihood (0.15%–0.50%) and identifying key variables through reverse stress tests under Prometeia’s macro-econometric model.
EBA-aligned study proposing a model-based approach to assess stress test scenario severity and Italian banks' resilience using Bayesian VAR, analyzing GDP, market rates, and credit impact from 2014–2018 exercises to evaluate macro-financial spillovers and risk management improvements.
EBA-supported study analysing how French banks adjust liquidity and balance sheet structures under Basel III’s LCR, examining interactions between solvency, funding liquidity, and market liquidity during crises, with policy implications for regulatory frameworks.
Bank of England working paper analysing fire sales under solvency and liquidity constraints, modelling banks' asset liquidation strategies under leverage, risk-weighted capital, and liquidity coverage ratios to assess systemic risk and contagion effects in the UK banking system.
Analysis by the Central Bank of Hungary on modeling loan loss provisions under IFRS 9 for solvency stress tests – examines expected loss forecasting, stage transitions, and procyclical impacts on the Hungarian banking sector’s corporate portfolio.
Academic paper presenting a stochastic optimization system for bank reverse stress testing, enabling identification of critical risk factor combinations leading to default. Covers methodology, Monte Carlo simulation, Pillar 2 risks (sovereign, reputational, interest rate), liquidity-solvency interlinkage, and application to Italian banking sector under EBA/ICAAP/SREP frameworks.
EBA-referenced study analysing how CCAR stress-test capital buffers for large U.S. banks impact commercial lending, firm loan volumes, debt, investment, and employment from 2012–2016, with findings relevant to countercyclical capital buffer (CCyB) activation effects.
EBA-aligned report proposing a standardized framework for integrating climate transition risks into regulatory stress-tests, focusing on abrupt late and sudden decarbonization scenarios. Covers methodology for assessing equity and corporate bond impacts in climate-sensitive sectors (fossil fuels, power, steel, cement, automotive, aviation) to measure financial stability and impact tolerance.
EBA-supported study by the European Commission’s Joint Research Centre examines the 'Greenium'—a negative climate risk premium in European stock returns—highlighting market pricing of green assets, implications for banks, and the need for carbon stress tests to address financial stability risks.
EBA 2019 workshop paper on system-wide stress simulation modeling to assess financial stability risks, focusing on non-bank finance growth, sector interactions, and regulatory impacts under stress scenarios.
EBA 2019 workshop discussion by Jose Berrospide analysing a general equilibrium model assessing UK market-based finance resilience under stress, focusing on non-bank financial institutions, liquidity risks, contagion channels, and fire-sale externalities in bond, repo, and derivatives markets.
Bank of Greece presents Deep-Stress, a deep learning approach for dynamic balance sheet stress testing, at the 2019 EBA Policy Research Workshop – exploring advanced methodologies for systemic risk amplification and supervisory stress testing frameworks.
Danmarks Nationalbank presentation at the 2019 EBA Policy Research Workshop discussing deep learning applications in banking stress tests, assessing dynamic balance sheet simulations and capital adequacy ratio predictions for US banks using 2008–2015 data.
EBA workshop paper exploring the Pre-Commitment Approach for bottom-up bank stress tests, comparing it with Federal Reserve methods and addressing calibration challenges to improve supervisory effectiveness in the EU banking sector.
Deutsche Bundesbank’s Peter Raupach discusses the pre-commitment approach for bottom-up bank stress tests at the 2019 EBA Policy Research Workshop, analysing incentives for truthful reporting, model integrity, and regulatory challenges in scenario-based risk forecasting.
EBA research paper analysing the severity of 2019 EBA macroeconomic scenarios for Italy using a joint probability approach, presented at the 2019 EBA Policy Research Workshop.
EBA 2019 workshop discussion on assessing the severity of EBA macroeconomic scenarios for Italy using a joint probability approach, comparing 2016 and 2018 scenarios and evaluating variable plausibility, including house price developments.
EBA 2019 research paper by Oesterreichische Nationalbank and Fachhochschule Vorarlberg proposing methods to enhance bank stress testing by improving scenario selection, loss assessment, and addressing systemic risks for more accurate financial stability analysis.