Stress Testing Credit Risk: A Survey of Authorities' Approaches - Brossura

Foglia, Antonella

Brossura

ISBN 10: 1249505356 ISBN 13: 9781249505358

Casa editrice: Bibliogov, 2012

Riassunto

We study government policies designed This paper reviews the quantitative methods developed at selected authorities for stress testing credit risk, focusing in particular on the methods used to link macroeconomic drivers of stress with bank-specific measures of credit risk (macro stress test). Authorities with a mandate for financial stability are particularly interested in quantifying the macro-to-micro linkages and have developed specific modeling expertise in this field. Stress testing credit risk is also an essential element of the Basel II framework, and some stress-testing requirements of Basel II are formulated by making explicit reference to the economic cycle. The paper highlights recent developments in macro stress testing and details a number of methodological challenges that may be useful for supervisors in their review process of banks' models as required by Basel II. It also contributes to the ongoing macroprudential research efforts to integrate macroeconomic oversight and prudential supervision, for early detection of key vulnerabilities and assessment of macro-financial linkages.

Dettagli dell'edizione

• Editore: Bibliogov
• Data di pubblicazione: 2012
• Lingua: Inglese
• ISBN 10: 1249505356
• ISBN 13: 9781249505358
• Rilegatura: Copertina flessibile
• Numero di pagine: 40
• Contatto del produttore: non disponibile
• Persona responsabile: non disponibile