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Evolution des méthodes de gestion des risques dans les banques sous la réglementation de Bale III : une étude sur les stress tests macro-prudentiels en Europe

Abstract : Our thesis consists in explaining, by bringing some theoretical elements, the imperfections of EBA / BCE macro-prudential stress tests, and proposing a new methodology of their application as well as two specific stress tests in addition. We show that macro-prudential stress tests may be irrelevant when the two basic assumptions of the Gordy-Vasicek core model used to assess banks regulatory capital in internal methods (IRB) in the context of credit risk (asymptotically granular credit portfolio and presence of a single source of systematic risk which is the macroeconomic conjuncture), are not respected. Firstly, they exist concentrated portfolios for which macro-stress tests are not sufficient to measure potential losses or even ineffective in the case where these portfolios involve non-cyclical counterparties. Secondly, systematic risk can come from several sources; the actual one-factor model doesn’t allow a proper repercussion of the “macro” shocks. We propose a specific credit stress test which makes possible to apprehend the specific credit risk of a concentrated portfolio, as well as a specific liquidity stress test which makes possible to measure the impact of liquidity shocks on the bank’s solvency. We also propose a multifactorial generalization of the regulatory capital valuation model in IRB, which allows applying macro-stress tests shocks on each sectorial portfolio, stressing in a clear, precise and transparent way the systematic risk factors impacting it. This methodology allows a proper impact of these shocks on the conditional probability of default of the counterparties of these portfolios and therefore a better evaluation of the capital charge of the bank.
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Submitted on : Wednesday, January 15, 2020 - 11:32:14 AM
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Julien Dhima. Evolution des méthodes de gestion des risques dans les banques sous la réglementation de Bale III : une étude sur les stress tests macro-prudentiels en Europe. Economies et finances. Université Panthéon-Sorbonne - Paris I, 2019. Français. ⟨NNT : 2019PA01E042⟩. ⟨tel-02440557⟩

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