欧洲央行-缓冲风险：通过压力测试设定周期性和结构性银行资本要求（英）

Working Paper Series Risk-to buffer: setting cyclical and structural banks capital requirements through stress tests Cyril Couaillier, Valerio Scalone Disclaimer: This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. No 2966 AbstractIn this paper, we propose a new framework to jointly calibrate cyclical and structuralcapital requirements. For this, we integrate a non-linear macroeconomic model and a stresstest model. In the macroeconomic model, the severity of the scenarios depends on the levelof cyclical risk. Risk-related scenarios are used as inputs for the stress test model. Banks’capital losses derived from a scenario based on a reference level of risk are used to set thestructural requirement. Additional losses associated with the current risk scenario are usedto set the cyclical requirement. This approach provides a transparent method to strike thebalance between cyclical and structural requirements.Keywords: Financial vulnerability, macroprudential policy, non-linear models, capital require-ments.JEL Codes: C32, E51, E58, G01.ECB Working Paper Series No 29661Non-Technical SummaryAfter the Global Financial Crisis, the Basel III regulation substantially raised bank capitalrequirements and introduced a distinction between structural and cyclical requirements. Struc-tural requirements aim at making banks more resilient to risks related to structural features ofthe banking system (interconnection, design of the real estate market, etc.). Cyclical require-ments cover risks deriving from the evolution of the financial cycle, i.e. excessive leverage andbooming asset prices. In this context, Stress tests have emerged as a popular tool to calibrateboth types of requirements. They consist in (i) designing an adverse economic scenario, (ii)computing bank capital losses under this scenario and (iii) calibrating capital requirements tocover those potential losses. However, if cyclical and structural requirements are calibrated usingparallel stress tests based on similar scenarios, different requirements will end up covering thesame type of vulnerability, resulting in a double counting of risk in capital requirements. Forinstance, an adverse scenario used for structural requirements including cyclical elements mightlead to overlaps with cyclical requirements. Conversely, lack of communication could also leadto some risks not being covered by any of the requirements.To clarify how to jointly set cyclical and structural requirements via Stress test, the paperintroduces a conceptual framework called ”Risk-to-Buffer”. This framework leverages a non-linear macroeconomic model, generating macroeconomic scenarios whose severity depends onthe level of cyclical risk.The use of risk-related scenarios in stress test exercises allows toestablish a direct link between the cyclical risk level and the calibrated cyclical requirement. A