20211109_LargeModelST

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Stochastic simulations Macro block Bank-level block Parameter Single draws from the posterior parameter distribution of the panel VAR Uncertainty Random draws from the estimated (normal) joint distributions of equation parameters Scenario / shocks Sequences of draws from the structural shock distribution (variance-stationary or incl. stochastic volatility with/without an indicator*) Geometric block and wild bootstrapping Limited idiosyncratic shocks e.g. operational risk * The volatility is an autoregressive process which can be extended by the Composite Indicator of Systemic Stress (CISS). 12 www.ecb.europa.eu ©
Differing simulation properties 13 www.ecb.europa.eu ©
Page 1 and 2: Large model stress testing Katarzyn
Page 3 and 4: What is the macro-micro model BEAST
Page 5 and 6: BEAST* high-level overview 19 euro
Page 7 and 8: Macro block • The dynamics of eco
Page 9 and 10: Banks' lending volumes Loan demand
Page 11: Prudential policies • CRDIV capit
Page 15 and 16: Perspective at the onset of COVID-1
Page 17 and 18: Narrative based selection GDP growt
Page 19 and 20: Lending impact Impact of policies o
Page 21 and 22: Background • The phase-in of Base
Page 23 and 24: Cost and benefit assessment so far
Page 25 and 26: Initial impact of Basel III finaliz
Page 27 and 28: Debt funding costs after transition
Page 29 and 30: 2021 and three EU Basel III impleme
Page 31 and 32: Plain vanilla design and scenario s
Page 33 and 34: Benefits of EU-specific versus plai
Page 35 and 36: Conclusions: balancing costs and be
Page 37: Q&A 37 www.ecb.europa.eu ©

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