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<p>This paper investigates the drivers of the change in the credit risk provisions at a portfolio level for banks that have been subject of the 2018 EBA stress tests. We perform a holistic review of the drivers of the three-year projections of credit losses. We define a model containing all the macroeconomic variables considered by the EBA approach. By adding a three-dimension set of explanatory variables, entity-, banking sector- and portfolio-level aspects, we verify that the published results show a relation with these features. Our results show that although EBA variables explain most part of credit risk provisions, bank-level variables, banking sector features, and the specific characteristics of the portfolio also play a role in explaining part of the provisions. The results also indicate the existence of complementary/substitution effects of both bank- and portfolio-level variables with the characteristics of the banking sector when explaining credit risk provisions.</p>

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A study on the EBA stress test results: influence of bank-, portfolio-, and country-level characteristics

  • 期刊论文

  • 发表日期：

    2025年3月6日

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  • J. Hernández,
  • J. Población,
  • N. Suárez,
  • J. Tarancón

摘要

This paper investigates the drivers of the change in the credit risk provisions at a portfolio level for banks that have been subject of the 2018 EBA stress tests. We perform a holistic review of the drivers of the three-year projections of credit losses. We define a model containing all the macroeconomic variables considered by the EBA approach. By adding a three-dimension set of explanatory variables, entity-, banking sector- and portfolio-level aspects, we verify that the published results show a relation with these features. Our results show that although EBA variables explain most part of credit risk provisions, bank-level variables, banking sector features, and the specific characteristics of the portfolio also play a role in explaining part of the provisions. The results also indicate the existence of complementary/substitution effects of both bank- and portfolio-level variables with the characteristics of the banking sector when explaining credit risk provisions.