title: Assessing banking risk in Europe: replication of and extension of “testing macroprudential stress tests: the risk of regulatory risk weights” by acharya, engle, and Pierret (2014) comparative macroprudential stress testing: assessing European banks in 2016
abstract: This report analyzes the findings of the article “Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights” by Acharya, Engle, and Pierret (2014), which concludes that regulatory stress tests often underestimate capital shortfalls compared to V-Lab, especially during times of economic stress, giving an overly optimistic view of banks’ stability. To evaluate this claim, the same comparative analysis from the article for the 2011 EBA stress tests and the V-Lab stress test was repl
journal: Portuguese National Funding Agency for Science, Research and Technology (RCAAP Project by FCT)