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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

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

Popis výsledku anglicky

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

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GAP403%2F11%2F2073" target="_blank" >GAP403/11/2073: Procykličnost finančních trhů, bubliny v cenách aktiv a makroprudenční regulace</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2013

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Financial Stability

ISSN

1572-3089

e-ISSN

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Svazek periodika

9

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

24

Strana od-do

347-370

Kód UT WoS článku

000324042400009

EID výsledku v databázi Scopus

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