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Can gulf banks pass the CCAR stress tests ?
Joint Authors
Source
Economic Research Forum : Working Paper Series
Issue
Vol. 2016, Issue 979-1073 (31 Dec. 2016), pp.0-17, 18 p.
Publisher
Economic Research Forum for the Arab Countries Iran and Turkey
Publication Date
2016-12-31
Country of Publication
Egypt
No. of Pages
18
Main Subjects
Financial and Accounting Sciences
Abstract EN
The absence of a uniform standard for stress tests is a key challenge today for Central Banks in the Gulf.
This paper utilizes the Dodd-Frank 2010 Comprehensive Capital Analysis and Review (CCAR) stress test to assess the balance sheets of 3 of the largest 10 banks in the GCC countries.
To our knowledge, this is the first study in the literature that evaluates banks in the region across the (CCAR) stress test scenarios.
We follow a top-down approach using a VAR model and measure the impact of macro-economic and financial indicators on the capital ratio, loan loss provision, and a bank’s ROA.
The results are then used to project these variables using 3 sets of scenarios currently performed by the large banks in the US, mandated by the Federal Reserve System.
Our results show that Riyad Bank and Qatar National Bank pass the most severe scenarios, but the National Bank of Kuwait fails both stress scenarios, potentially falling out of compliance with the Basle II requirements.
The implications suggest that while the capital of the Gulf region largest banks is above regulatory requirements during normal conditions, the situation could change dramatically in stressed environments.
American Psychological Association (APA)
Haddad, Mahmud& Hakim, Sam. 2016. Can gulf banks pass the CCAR stress tests ?. Economic Research Forum : Working Paper Series،Vol. 2016, no. 979-1073, pp.0-17.
https://search.emarefa.net/detail/BIM-729448
Modern Language Association (MLA)
Haddad, Mahmud& Hakim, Sam. Can gulf banks pass the CCAR stress tests ?. Economic Research Forum : Working Paper Series No. 979-1073 (Dec. 2016), pp.0-17.
https://search.emarefa.net/detail/BIM-729448
American Medical Association (AMA)
Haddad, Mahmud& Hakim, Sam. Can gulf banks pass the CCAR stress tests ?. Economic Research Forum : Working Paper Series. 2016. Vol. 2016, no. 979-1073, pp.0-17.
https://search.emarefa.net/detail/BIM-729448
Data Type
Journal Articles
Language
English
Notes
Includes appendices : p. 10-17
Record ID
BIM-729448