Macroprudential Stress Testing of Credit Risk : A Practical Approach for Policy Makers

Buncic, Daniel ; Melecky, Martin

关键词: ACCOUNTING;    ASSET CLASS;    ASSET CLASSES;    BALANCE SHEET;    BANK BORROWERS;   

DOI  :  10.1596/1813-9450-5936
RP-ID  :  WPS5936

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

Drawing on the lessons from the globalfinancial crisis and especially from its impact on thebanking systems of Eastern Europe, the paper proposes a newpractical approach to macroprudential stress testing. Theproposed approach incorporates: (i) macroeconomic stressscenarios generated from both a country specific statisticalmodel and historical cross-country crises experience; (ii)indirect credit risk due to foreign currency exposures ofunhedged borrowers; (iii) varying underwriting practicesacross banks and their asset classes based on their relativeaggressiveness of lending; (iv) higher correlations betweenthe probability of default and the loss given default duringstress periods; (v) a negative effect of lendingconcentration and residual loan maturity on unexpectedlosses; and (vi) the use of an economic risk weightedcapital adequacy ratio as the relevant outcome indicator tomeasure the resilience of banks to materializing creditrisk. The authors apply the proposed approach to a set ofEastern European banks and discuss the results.