The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application
The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application
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DOI：
10.1016/j.jbankfin.2009.06.009
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发表时间：
2010-04-01
影响因子：
3.7
通讯作者：
Stringa, Marco
中科院分区：
文献类型：
--
作者：
Drehmann, Mathias;Sorensen, Steffen;Stringa, Marco
信用风险和利率风险是商业银行账面上最重要的两个风险。在这篇文章中，我们得出了一个一致和全面的框架来衡量这两种风险的综合影响。通过考虑资产、负债和表外项目的重新定价特征，我们评估了信贷和利率风险对银行经济价值和资本充足率的综合影响。然后，我们使用我们的框架对一家假想但现实的银行进行压力测试，并表明联合衡量信贷和利率风险的影响是基本的。皇冠版权所有(C)2009由爱思唯尔出版。保留所有权利。
Credit and interest rate risk are the two most important risks faced by commercial banks in their banking book. In this paper we derive a consistent and comprehensive framework to measure the integrated impact of both risks. By taking account of the repricing characteristics of assets, liabilities and off balance sheet items, we assess the integrated impact of credit and interest rate risk on banks' economic value and capital adequacy. We then stress test a hypothetical but realistic bank using our framework and show that it is fundamental to measure the impact of credit and interest rate risk jointly. Crown Copyright (C) 2009 Published by Elsevier B.V. All rights reserved.