文章基本信息

标题：Stress-testing net trading income: the case of European banks
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作者：Carla Giglio ; Frances Shaw ; Nicolas Syrichas 等
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2021
卷号：2021
语种：English
出版社：European Central Bank
摘要：Net trading income is an important but volatile source of revenue for many euro area banks deemed to be highly sensitive to changes in financial market conditions. We propose a two-step econometric approach to quantify the downside risk of financial shocks on the banks’ trading revenues. First, we estimate the parameters of a fixed-effects quantile autoregressive model conditional on exogenous macrofinancial shocks and bank characteristics. In the second step, we approximate the entire empirical conditional distribution of net trading income across all banks and time horizons by interpolating between the estimated quantiles. Based on the estimated distribution function, we derive two key metrics that summarize conditional left tail risks: i) conditional shortfall, ii) material loss probability. These measures are relevant in a stress test exercise whose aim to gauge CET-1 capital depletion under an adverse macro-financial scenario. We apply our methodology on supervisory data for a representative sample of European banks over the period spanning from the first quarter of 2015 to the last quarter of 2020. We find that the lower quantiles of net trading revenue distribution are significantly impacted by deteriorating financial conditions, whereas the upper quantiles seem to be stable over time.
关键词：Stress testing;net trading income;quantile panel regression;capital shortfall