{"id":"https://openalex.org/W1982952305","doi":"https://doi.org/10.2139/ssrn.3018089","title":"Simulation-based stress testing of banks' regulatory capital adequacy","display_name":"Simulation-based stress testing of banks' regulatory capital adequacy","publication_year":2003,"publication_date":"2003-02-27","ids":{"openalex":"https://openalex.org/W1982952305","doi":"https://doi.org/10.2139/ssrn.3018089","mag":"1982952305"},"language":"en","primary_location":{"id":"pmh:oai:RePEc:bof:bofrdp:2003_004","doi":null,"is_oa":false,"landing_page_url":"https://helda.helsinki.fi/bof/bitstream/123456789/7844/1/107096.pdf","pdf_url":"https://helda.helsinki.fi/bof/bitstream/123456789/7844/1/107096.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},"volume":null,"type":"preprint","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://www.econstor.eu/bitstream/10419/211937/1/bof-rdp2003-004.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5015404901","display_name":"Samu Peura","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Samu Peura","raw_affiliation_strings":["Sampo Bank, Unioninkatu 22, Helsinki, P.O.Box 1026, FI-00075 SAMPO, Finland","Sampo Bank"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Sampo Bank, Unioninkatu 22, Helsinki, P.O.Box 1026, FI-00075 SAMPO, Finland","institution_ids":[]},{"raw_affiliation_string":"Sampo Bank","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5015404901"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":39,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.9810000061988831,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.9810000061988831,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.007799999788403511,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0019000000320374966,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stress-testing","display_name":"stress testing","score":0.8349999785423279},{"id":"https://openalex.org/keywords/bank-capital-adequacy","display_name":"bank capital adequacy","score":0.8769999742507935},{"id":"https://openalex.org/keywords/basel-ii","display_name":"Basel II","score":0.8600000143051147},{"id":"https://openalex.org/keywords/pillar-two","display_name":"Pillar Two","score":0.8169999718666077},{"id":"https://openalex.org/keywords/capital-buffers","display_name":"capital buffers","score":0.6869999766349792},{"id":"https://openalex.org/keywords/procyclicality","display_name":"procyclicality","score":0.9390000104904175},{"id":"https://openalex.org/keywords/credit-rating-transitions","display_name":"credit rating transitions","score":0.8169999718666077},{"id":"https://openalex.org/keywords/business-cycles","display_name":"business cycles","score":0.7160000205039978},{"id":"https://openalex.org/keywords/credit-portfolio-analysis","display_name":"credit portfolio analysis","score":0.7889999747276306},{"id":"https://openalex.org/keywords/bank-revenue","display_name":"bank income","score":0.5360000133514404},{"id":"https://openalex.org/keywords/regulatory-capital-requirements","display_name":"regulatory capital requirements","score":0.5690000057220459}],"concepts":[{"id":"https://openalex.org/C7515471","wikidata":"https://www.wikidata.org/wiki/Q1936882","display_name":"Stress testing (software)","level":2,"score":0.7676401734352112},{"id":"https://openalex.org/C16969640","wikidata":"https://www.wikidata.org/wiki/Q1070805","display_name":"Capital adequacy ratio","level":3,"score":0.5695559978485107},{"id":"https://openalex.org/C2864544","wikidata":"https://www.wikidata.org/wiki/Q2914988","display_name":"Capital requirement","level":3,"score":0.5570136308670044},{"id":"https://openalex.org/C21036866","wikidata":"https://www.wikidata.org/wiki/Q181767","display_name":"Stress (linguistics)","level":2,"score":0.47182852029800415},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.4389953911304474},{"id":"https://openalex.org/C2779201015","wikidata":"https://www.wikidata.org/wiki/Q1308919","display_name":"Stress test","level":2,"score":0.42255163192749023},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.3552771210670471},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3544435501098633},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3240664005279541},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3222104012966156},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.23672088980674744},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.16954749822616577},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.1268976330757141},{"id":"https://openalex.org/C41895202","wikidata":"https://www.wikidata.org/wiki/Q8162","display_name":"Linguistics","level":1,"score":0.0},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.0},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.0},{"id":"https://openalex.org/C29122968","wikidata":"https://www.wikidata.org/wiki/Q1414816","display_name":"Incentive","level":2,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0}],"mesh":[],"locations_count":7,"locations":[{"id":"pmh:oai:RePEc:bof:bofrdp:2003_004","doi":null,"is_oa":false,"landing_page_url":"https://helda.helsinki.fi/bof/bitstream/123456789/7844/1/107096.pdf","pdf_url":"https://helda.helsinki.fi/bof/bitstream/123456789/7844/1/107096.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:RePEc:hhs:bofrdp:2003_004","doi":null,"is_oa":false,"landing_page_url":"http://www.suomenpankki.fi/en/julkaisut/tutkimukset/keskustelualoitteet/Documents/0304.pdf","pdf_url":"http://www.suomenpankki.fi/en/julkaisut/tutkimukset/keskustelualoitteet/Documents/0304.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"preprint"},{"id":"pmh:oai:RePEc:wpa:wuwpfi:0405003","doi":null,"is_oa":false,"landing_page_url":"https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0405/0405003.pdf","pdf_url":"https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0405/0405003.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:RePEc:zbw:bofrdp:rdp2003_004","doi":null,"is_oa":false,"landing_page_url":"https://www.econstor.eu/bitstream/10419/211937/1/bof-rdp2003-004.pdf","pdf_url":"https://www.econstor.eu/bitstream/10419/211937/1/bof-rdp2003-004.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:econstor.eu:10419/211937","doi":null,"is_oa":true,"landing_page_url":"http://hdl.handle.net/10419/211937","pdf_url":"https://www.econstor.eu/bitstream/10419/211937/1/bof-rdp2003-004.pdf","source":{"id":"https://openalex.org/S4306401696","display_name":"Econstor (Econstor)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"doc-type:workingPaper"},{"id":"mag:3125916623","doi":null,"is_oa":false,"landing_page_url":"https://econpapers.repec.org/RePEc:wpa:wuwpfi:0405003","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"doi:10.2139/ssrn.3018089","doi":"https://doi.org/10.2139/ssrn.3018089","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.3018089","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"}],"best_oa_location":{"id":"pmh:oai:econstor.eu:10419/211937","doi":null,"is_oa":true,"landing_page_url":"http://hdl.handle.net/10419/211937","pdf_url":"https://www.econstor.eu/bitstream/10419/211937/1/bof-rdp2003-004.pdf","source":{"id":"https://openalex.org/S4306401696","display_name":"Econstor (Econstor)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"doc-type:workingPaper"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W1982952305.pdf","grobid_xml":"https://content.openalex.org/works/W1982952305.grobid-xml"},"referenced_works_count":7,"referenced_works":["https://openalex.org/W1530243524","https://openalex.org/W1547634831","https://openalex.org/W1991168850","https://openalex.org/W2105039658","https://openalex.org/W2133803854","https://openalex.org/W3121622333","https://openalex.org/W3125521824"],"related_works":["https://openalex.org/W3123410400","https://openalex.org/W4249856612","https://openalex.org/W4361805270","https://openalex.org/W7098502497","https://openalex.org/W1953652213","https://openalex.org/W2527759553","https://openalex.org/W2016604776","https://openalex.org/W3141891866","https://openalex.org/W2471181887","https://openalex.org/W1966676439"],"abstract_inverted_index":{"Banks'":[0],"holding":[1],"of":[2,8,23,59,81,127,147,163],"reasonable":[3],"capital":[4,21,60,93,96,100,113,132,141,156,165,172],"buffers":[5],"in":[6,87],"excess":[7],"minimum":[9,95],"requirements":[10,97,114],"could":[11],"alleviate":[12],"the":[13,19,27,40,82,116,130,167],"procyclicality":[14,186],"problem":[15],"potentially":[16],"exacerbated":[17],"by":[18,106,122],"rating-sensitive":[20],"charges":[22],"Basel":[24,117,174,178],"II.":[25,175],"Determining":[26],"required":[28],"buffer":[29],"size":[30],"is":[31,78,104],"an":[32,79],"important":[33],"risk":[34],"management":[35],"issue":[36],"for":[37,140],"banks,":[38],"which":[39,158],"Basle":[41],"Committee":[42],"(2002)":[43],"suggests":[44],"should":[45],"be":[46],"approached":[47],"via":[48],"stress":[49,57,184],"testing.We":[50],"present":[51],"here":[52],"a":[53,144,160],"simulation-based":[54],"approach":[55,77],"to":[56,151,170],"testing":[58],"adequacy":[61],"where":[62],"rating":[63,123],"transitions":[64],"are":[65,73,120],"conditioned":[66],"on":[67,153],"business-cycle":[68,71],"phase":[69],"and":[70,94,109],"dynamics":[72,126],"taken":[74],"into":[75],"account.Our":[76],"extension":[80],"standard":[83],"credit":[84],"portfolio":[85],"analysis":[86],"that":[88],"we":[89],"simulate":[90],"actual":[91,154],"bank":[92,99,107,135,155,164,171,182],"simultaneously.Actual":[98],"(absent":[101],"mark-to-market":[102],"accounting)":[103],"driven":[105,121],"income":[108],"default":[110],"losses,":[111],"whereas":[112],"within":[115],"II":[118],"framework":[119],"transitions.The":[124],"joint":[125],"these":[128],"determine":[129],"necessary":[131],"buffers,":[133],"given":[134],"management's":[136],"specified":[137],"confidence":[138,149],"level":[139,150],"adequacy.We":[142],"provide":[143],"tentative":[145],"calibration":[146],"this":[148],"data":[152],"ratios,":[157],"enables":[159],"ceteris-paribus":[161],"extrapolation":[162],"under":[166,173],"current":[168],"regime":[169],"Key":[176],"words:":[177],"II,":[179],"Pillar":[180],"2,":[181],"capital,":[183],"tests,":[185],"JEL":[187],"classification":[188],"numbers:":[189],"G21,":[190],"G32":[191]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2015,"cited_by_count":4},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":5},{"year":2012,"cited_by_count":5}],"updated_date":"2026-11-03T10:50:19.383937","created_date":"2016-06-24T00:00:00"}
