Bank stress testing under different balance sheet assumptions

Research English OPEN
Busch, Ramona; Drescher, Christian; Memmel, Christoph;
  • Publisher: Frankfurt a. M.: Deutsche Bundesbank
  • Subject: G11 | G21 | stress testing | low-interest-rate environment | net interest margin | static balance sheet | dynamic balance sheet | price effect | quantity effect
    • ddc: ddc:330

Using unique supervisory survey data on the impact of a hypothetical interest rate shock on German banks, we analyse price and quantity effects on banks' net interest margin components under different balance sheet assumptions. In the first year, the cross-sectional var... View more
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