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The Impact of the Basel Accord on Greek Banks: A Stress Test Study

Department of Economics, University of Athens, Sofokleous 1, Athens 10559, Greece
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Academic Editor: Michael McAleer
J. Risk Financial Manag. 2015, 8(2), 181-197; https://doi.org/10.3390/jrfm8020181
Received: 31 October 2014 / Revised: 11 March 2015 / Accepted: 12 March 2015 / Published: 31 March 2015
In this paper, we study the impact of extreme events on the loan portfolios of the Greek banking system. These portfolios are grouped into three separate groups based on the size of the bank to which they belong, in particular, large, medium, and small size. A series of extreme scenarios was performed and the increase in capital requirements was calculated for each scenario based on the standardized and internal ratings approach of the Basel II accord. The results obtained show an increase of credit risk during the crisis periods, and the differentiation of risk depending on the size of the banking organization as well as the added capital that will be needed in order to hedge that risk. The execution of the scenarios aims at studying the effects which may be brought about on the capital of the three representative banks by the appearance of adverse events. View Full-Text
Keywords: banking regulation; credit risk; stress test banking regulation; credit risk; stress test
MDPI and ACS Style

Leventides, J.; Donatou, A. The Impact of the Basel Accord on Greek Banks: A Stress Test Study. J. Risk Financial Manag. 2015, 8, 181-197.

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