Macroprudential stress testing of credit risk: A practical approach for policy makers

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86087959" target="_blank" >RIV/61989100:27510/13:86087959 - isvavai.cz</a>
Result on the web
<a href="http://www.sciencedirect.com/science/article/pii/S1572308912000666" target="_blank" >http://www.sciencedirect.com/science/article/pii/S1572308912000666</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.jfs.2012.11.003" target="_blank" >10.1016/j.jfs.2012.11.003</a>

Result language
angličtina
Original language name
Macroprudential stress testing of credit risk: A practical approach for policy makers
Original language description
Drawing on the lessons from the global financial crisis and especially from its impact on the banking systems of Eastern Europe, the paper proposes a new practical approach to macroprudential stress testing. The proposed approach incorporates: (i) macroeconomic stress scenarios generated from both a country specific statistical model and historical cross-country crises experience; (ii) indirect credit risk due to foreign currency exposures of unhedged borrowers; (iii) varying underwriting practices across banks and their asset classes based on their relative aggressiveness of lending; (iv) higher correlations between the probability of default and the loss given default during stress periods; (v) a negative effect of lending concentration and residualloan maturity on unexpected losses; and (vi) the use of an economic risk weighted capital adequacy ratio as the relevant outcome indicator to measure the resilience of banks to materializing credit risk. The authors apply the proposed app
Czech name
—
Czech description
—

Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
—

Project
<a href="/en/project/GAP403%2F11%2F2073" target="_blank" >GAP403/11/2073: Procyclicality of financial markets, asset price bubbles and macroprudential regulation</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Similar results(10)