Importance of balance sheet composition in stress test estimates

The stress tests are based on macroeconomic variables for the estimations of the results. However, there are other factors that may influence them. This paper studies the influence of the balance sheet structure in the NPL and the loss caused by the NPL using econometric models. The objective is to research how they affect the aggregates in the balance sheet to the delay in payment and the the provision for impairment, distinguishing these effects according to the economic cycle, so that can be applied to the stress test. The results show that the Balance sheet structure is important in delinquency and losses caused by it, especially in respect of stockholders' funds, ECB resources and the account Non-current assets held for sale. It also highlights the influence of the economic cycle and the different behavior of the NPL and the losses due to default with respect to the same explanatory variables