Central bank research hub - Papers by Kamil Pliszka
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Research hub papers by author Kamil PliszkaenModel and estimation risk in credit risk stress tests
https://www.econstor.eu/bitstream/10419/193671/1/1067662731.pdf
Deutsche Bundesbank Discussion Papers by Peter Grundke, Kamil Pliszka and Michael TuchschererModel and estimation risk in credit risk stress tests2019-03-08T00:00:09ZThis paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and implementing a model can drive the results of a quantitative stress test for default probabilities. For this purpose, we employ several variations of a CreditPortfolioView-style model using US data ranging from 2004 to 2016. We show that seemingly only slightly differing specifications can lead to entirely different stress test results - in relative and absolute terms. That said, our findings reveal that the conversion of a shock (i.e., stress event) increases the (non-stress) default probability by 20% to 80% - depending on the stress test model selected. Interestingly, forecasts for non-stress default probabilities are less exposed to model and estimation risk. In addition, the risk horizon over which the stress default probabilities are forecasted and whether we consider mean stress default probabilities or quantiles seem to play only a minor role for the dispersion between the results of the different model specifications. Our findings emphasize the importance of extensive robustness checks for model-based credit risk stress tests.Model and estimation risk in credit risk stress testsFull texthttps://www.econstor.eu/bitstream/10419/193671/1/1067662731.pdfMichael TuchschererPeter GrundkeKamil PliszkaPeter Grundke, Kamil Pliszka and Michael Tuchscherer2019Deutsche Bundesbank Discussion PapersG21G28G32What are the real effects of financial market liquidity? Evidence on bank lending from the euro area
https://www.econstor.eu/bitstream/10419/182027/1/1030582017.pdf
Deutsche Bundesbank Discussion Papers by Andreas R. Dombret, Daniel Foos, Kamil Pliszka and Alexander SchulzWhat are the real effects of financial market liquidity? Evidence on bank lending from the euro area2018-01-01T00:00:34ZWe analyze the impact of market liquidity on bank lending in the euro area for different segments over the period 2003 to 2016. Our results on the aggregate level show that market liquidity is positively related to loan volumes and negatively related to credit spreads. Particularly during the financial crisis of 2007-09 and the subsequent European debt crisis, lending was reduced and we observe that banks requested higher credit spreads. Of particular importance is that market liquidity has an asymmetric effect on bank lending: The negative impact of a reduction in liquidity is more significant than the positive impact of an increase in liquidity. This is particularly true for corporate loans where lending conditions would be restricted first in times of impaired market liquidity. The bank-level data confirm the strong impact of market liquidity on bank lending as well. More specifically, we show that non-listed banks, less profitable banks and banks which rely relatively more on net interest income, as well as banks with a high funding liquidity are particularly strongly exposed to market liquidity. Therefore, properly functioning and sufficiently liquid markets are necessary to avoid negative consequences of restrictions in bank lending which would eventually hamper the real economy. This is of the utmost importance against the background of the envisaged capital markets union in the European Union and the potential exit of the United Kingdom from the EU.What are the real effects of financial market liquidity? Evidence on bank lending from the euro areaFull texthttps://www.econstor.eu/bitstream/10419/182027/1/1030582017.pdfAlexander SchulzAndreas R. DombretDaniel FoosKamil PliszkaAndreas R. Dombret, Daniel Foos, Kamil Pliszka and Alexander Schulz2018Deutsche Bundesbank Discussion PapersG15G21G32The time-varying impact of systematic risk factors on corporate bond spreads
https://www.econstor.eu/bitstream/10419/179508/1/1024066495.pdf
Deutsche Bundesbank Discussion Papers by Arne C. Klein and Kamil PliszkaThe time-varying impact of systematic risk factors on corporate bond spreads2018-01-01T00:00:14ZDuring the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors and corporate bond spreads. First, we apply Bayesian model averaging to a battery of candidate variables for determining meaningful systematic risk factors. Second, Markov switching techniques provide us with an endogenous separation of regimes accounting for times of stress, on the one hand, and for normal market conditions, on the other. Our evidence for market indices of euro-denominated bonds suggests that systematic risk factors play a much more prominent role during periods of market turmoil. Most important, expectations about default rates seem to be much more driven by systematic factors rather than idiosyncratic components during times of market stress.The time-varying impact of systematic risk factors on corporate bond spreadsFull texthttps://www.econstor.eu/bitstream/10419/179508/1/1024066495.pdfArne C. KleinKamil PliszkaArne C. Klein and Kamil Pliszka2018Deutsche Bundesbank Discussion PapersG01G10G11G12G14G15G32Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2017/2017_08_31_dkp_24.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by Daniel Foos, Eva Lütkebohmert, Mariia Markovych, Kamil PliszkaEuro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve2017-08-31T12:41:00ZEuro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curveFull texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2017/2017_08_31_dkp_24.pdf?__blob=publicationFileMariia MarkovychDaniel FoosEva LütkebohmertKamil PliszkaDaniel Foos, Eva Lütkebohmert, Mariia Markovych, Kamil Pliszka2017-08-31Deutsche Bundesbank Discussion PapersC11C51C55A macroeconomic reverse stress test
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2015/2015_09_11_dkp_30.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by Peter Grundke, Kamil PliszkaA macroeconomic reverse stress test2015-09-11T11:31:59ZReverse stress tests are a relatively new stress test instrument that aims at finding exactly those scenarios that cause a bank to cross the frontier between survival and default. Afterward, the scenario which is most probable has to be identified. This paper sketches a framework for a quantitative reverse stress test for maturity-transforming banks that are exposed to credit and interest rate risk and demonstrates how the model can be calibrated empirically. The main features of the proposed framework are: 1) The necessary steps of a reverse stress test (solving an inversion problem and computing the scenario probabilities) can be performed within one model, 2) Scenarios are characterized by realizations of macroeconomic risk factors, 3) Principal component analysis helps to reduce the dimensionality of the space of systematic risk factors, 4) Due to data limitations, the results of reverse stress tests are exposed to considerable model and estimation risk, which makes numerous robustness checks necessary.A macroeconomic reverse stress testFull texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2015/2015_09_11_dkp_30.pdf?__blob=publicationFileKamil PliszkaPeter GrundkePeter Grundke, Kamil Pliszka2015-09-11Deutsche Bundesbank Discussion PapersC22C51C53G21G32