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）-2024-27页_1mb

Risk-to-Buffer Framework for Calibrating Cyclical and Structural Bank Capital Requirements

This paper introduces a novel framework called Risk-to-Buffer to jointly calibrate cyclical and structural capital requirements for banks through stress tests. A key insight is that traditional parallel stress tests risk double-counting by covering the same vulnerabilities. The framework addresses this by linking the level of cyclical risk—measured by the Debt Service Ratio (DSR) of the non-financial private sector—to capital requirements through state-dependent scenarios.

The methodology involves three steps:

1. Generating adverse macroeconomic scenarios using a non-linear multivariate Smooth Transition regime switching model, calibrated with euro-area data. High DSR levels amplify the impact of shocks (e.g., housing or output shocks), leading to severe stress scenarios.
2. Projecting bank capital losses through a reduced-form stress test model, indirectly inferring elasticity from the 2018 ECB stress test results. For instance, under the highest DSR, the Core Equity Tier 1 (CET1) ratio can deteriorate by 3.8 percentage points.
3. Calibrating the requirements:
   • Structural requirement reflects losses under a reference risk scenario (e.g., median or minimum DSR).
   • Cyclical requirement is the additional loss from the current risk scenario compared to the reference.

Calibration results show that with a median-risk reference, structural requirements average 1.8%, and cyclical requirements can rise up to 2.0% if DSR peaks. This balance ensures optimal capital allocation, supporting credit supply during downturns while preserving bank resilience.

The framework enhances regulatory transparency by:

• Formalizing the link between risk levels and capital buffers.
• Striking a clear balance between temporary (cyclical) and permanent (structural) requirements.
• Facilitating discussions on neutral cyclical buffers by quantifying the trade-off between the two components.

The paper synthesizes banking stress testing and non-linear macroeconomic modeling, offering a practical tool for policymakers targeting robust and responsive capital regulation.

> Note: This summary is based on a working paper by Couaillier and Scalone, focusing on regulatory implications.