Macro Stress Testing on Credit Risk

Igor Vukic

ISBN 10: 3659745596 / ISBN 13: 9783659745591

Published by LAP LAMBERT Academic Publishing Jul 2015, 2015

About this Item

This item is printed on demand - it takes 3-4 days longer - Neuware -In this book the author stress tests the banking sectors of the PIIGS countries. He focuses in particular on modeling the credit risk and estimating the impact of changes in macroeconomic variables on the level of capital adequacy. He develops two scenarios - a baseline stress testing scenario and an adverse scenario. The results indicate that under both scenarios, the analyzed banking systems have some capital adequacy issues. He finds that the Portuguese banking sector is facing biggest capitalization problems. Number of undercapitalized banks under the adverse scenario is bigger than in baseline scenario for all the countries. Another finding which is common for all the countries is that large-sized privately owned banks are better capitalized than small and medium-sized ones. Last finding concerns ownership structure where the author found that all the state-owned banks are undercapitalized in both scenarios. 76 pp. Englisch.

Seller Inventory # 9783659745591

Bibliographic Details

• Title: Macro Stress Testing on Credit Risk
• Publisher: LAP LAMBERT Academic Publishing Jul 2015
• Publication Date: 2015
• Language: English
• ISBN 10: 3659745596
• ISBN 13: 9783659745591
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 220W x 150H x 5D millimeters 220 millimeters width by 150 millimeters height by 5 millimeters depth
• Weight: 131 grams

About this title

Synopsis

In this book the author stress tests the banking sectors of the PIIGS countries. He focuses in particular on modeling the credit risk and estimating the impact of changes in macroeconomic variables on the level of capital adequacy. He develops two scenarios - a baseline stress testing scenario and an adverse scenario. The results indicate that under both scenarios, the analyzed banking systems have some capital adequacy issues. He finds that the Portuguese banking sector is facing biggest capitalization problems. Number of undercapitalized banks under the adverse scenario is bigger than in baseline scenario for all the countries. Another finding which is common for all the countries is that large-sized privately owned banks are better capitalized than small and medium-sized ones. Last finding concerns ownership structure where the author found that all the state-owned banks are undercapitalized in both scenarios.