MERCURE: A Macroprudential Stress Testing Model developed at the ACPR

The French Supervisory Authority got involved into macro stress testing exercises stress since the first Financial Stability Assessment Program (“FSAP”) led by the IMF in France in 2004. Along “bottom up” exercises led at the national or international level, the ACPR has developed a “top down” stress testing model. This model was primarily focused on credit risks. Over the years, its risk coverage has substantially been extended and this article provides an update. Some risks make explicitly part of a dedicated analysis –for example the risks related to banks’ retail activities. More attention is now given to contagion effects, sectorial shocks and concentration risks. Financial institutions other than banks are considered. More granular data allow for a more refined analysis.

[1]  Mathias Lé.  Deposit Insurance Adoption and Bank Risk-Taking: The Role of Leverage , 2013 .

[2]  M. Dietsch,et al.  Do LTV and DSTI caps make banks more resilient , 2014 .

[3]  Dirk Tasche,et al.  Capital allocation for credit portfolios with kernel estimators , 2006, math/0612470.

[4]  Steven Ongena,et al.  Credit Supply and Monetary Policy: Identifying the Bank Balance-Sheet Channel with Loan Applications , 2012 .

[5]  Alain Monfort,et al.  Bilateral Exposures and Systemic Solvency Risk , 2012 .

[6]  D. Nouy.  Banking regulation and supervision in the next 10 years and their unintended consequences , 2013 .

[7]  P. Pessarossi,et al.  Does the capital structure affect banks’ profitability? Pre- and post financial crisis evidence from significant banks in France , 2014 .

[8]  D. Thesmar,et al.  The Real Effects of Bank Capital Requirements , 2015, Manag. Sci..

[9]  Alexander J. McNeil,et al.  Dependent defaults in models of portfolio credit risk , 2003 .

[10]  Stress-Testing Banks’ Profitability: The Case of French Banks , 2010 .

[11]  O. de Bandt,et al.  Model for Analysing and Forecasting Short Term Developments , 2004 .

[12]  Paulo Renato Soares Terra,et al.  The cost of capital, corporation finance and the theory of investment , 2008 .

[13]  P. Pessarossi,et al.  Banks’ supply of long term credit after a liquidity shock: Evidence from 2007-2009 , 2015 .

[14]  P. Pessarossi,et al.  Regulatory changes and the cost of equity:evidence from French banks , 2014 .

[15]  Sebastiano Laviola,et al.  The Structure and Resilience of the European Interbank Market , 2013, SSRN Electronic Journal.

[16]  Dilyara Salakhova,et al.  DIRECTION GÉNÉRALE DES ÉTUDES ET DES RELATIONS INTERNATIONALES DOMINO EFFECTS WHEN BANKS HOARD LIQUIDITY: THE FRENCH NETWORK , 2013 .

[17]  Rochelle M. Edge,et al.  The Effects of Bank Capital on Lending: What Do We Know, and What Does It Mean? , 2010 .

[18]  S. Tavolaro,et al.  What is the information content of the SRISK measure as a supervisory tool , 2014 .

[19]  J. Hombert,et al.  The Competitive Effects of a Bank Megamerger on Access to Credit , 2015 .

[20]  Mohamed E. Chaffai,et al.  Modelling and Measuring Business Risk and the Resiliency of Retail Banks , 2015, SSRN Electronic Journal.

[21]  L. Lepetit,et al.  Ex ante capital position, changes in the different components of regulatory capital and bank risk , 2013 .

[22]  Klaus Duellmann,et al.  Crash Testing German Banks , 2012 .

[23]  Kalin Nikolov,et al.  Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 , 2012 .

[24]  Franklin Allen,et al.  Financial Contagion , 2000, Journal of Political Economy.

[25]  Michael Kalkbrener,et al.  Credit Risk Concentrations under Stress , 2006 .

[26]  Stéphane Loisel,et al.  Main Determinants of Profit-Sharing Policy in the French Life Insurance Industry , 2018, The Geneva Papers on Risk and Insurance - Issues and Practice.

[27]  Charles W. Calomiris,et al.  Does Macro-Prudential Regulation Leak? Evidence from a UK Policy Experiment , 2014 .

[28]  Dieter Kiesenbauer.  Main Determinants of Lapse in the German Life Insurance Industry , 2012 .

[29]  A. Hackethal,et al.  The Anatomy of Bank Diversification , 2006 .

[30]  C. Labonne,et al.  Measuring Systemic Risk in a Post-Crisis World , 2013 .

[31]  Christoffer Kok,et al.  Macroeconomic Propagation Under Different Regulatory Regimes: Evidence From an Estimated DSGE Model For the Euro Area , 2010, SSRN Electronic Journal.

[32]  D. Hancock,et al.  Has There Been a "Capital Crunch" in Banking? The Effects on Bank Lending of Real Estate Market Conditions and Bank Capital Shortfalls , 1993 .

[33]  Alexander J. McNeil,et al.  Bayesian inference for generalized linear mixed models of portfolio credit risk , 2007 .

[34]  J. Héam,et al.  How to measure interconnectedness between banks, insurers and financial conglomerates , 2014 .

[35]  P. Wachtel,et al.  Pro-Cyclical Capital Regulation and Lending , 2015, SSRN Electronic Journal.

[36]  P. Spreij,et al.  An analytic approach to credit risk of large corporate bond and loan portfolios , 2001 .

[37]  Chien‐Chiang Lee,et al.  The link between life insurance activities and economic growth: Some new evidence , 2013 .

[38]  D. Hancock,et al.  Bank Capital and the Credit Crunch: The Roles of Risk-Weighted and Unweighted Capital Regulations , 1994 .

[39]  Olivier de Bandt,et al.  Is There Evidence of Shift-Contagion in International Housing Markets? , 2010 .

[40]  N. Dumontaux,et al.  Stress-testing banks’ corporate credit portfolio , 2013 .

[41]  Danièle Nouy.  Les risques du Shadow banking en Europe : le point de vue du superviseur bancaire , 2013 .