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

Facets (new session)
Description
Metadata
Settings
- owl:sameAs
- Inference Rule:

About: Macroprudential stress testing of credit risk: A practical approach for policy makers Goto Sponge NotDistinct Permalink

An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://www.sciencedirect.com/science/article/pii/S1572308912000666
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 residual loan 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 approach to a set of Eastern European banks and discuss the results. 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 residual loan 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 approach to a set of Eastern European banks and discuss the results. (en)
Title	Macroprudential stress testing of credit risk: A practical approach for policy makers Macroprudential stress testing of credit risk: A practical approach for policy makers (en)
skos:prefLabel	Macroprudential stress testing of credit risk: A practical approach for policy makers Macroprudential stress testing of credit risk: A practical approach for policy makers (en)
skos:notation	RIV/61989100:27510/13:86087959!RIV14-GA0-27510___
http://linked.open...avai/predkladatel	Ekonomická fakulta
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(GAP403/11/2073)
http://linked.open...iv/cisloPeriodika	3
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Melecký, Martin
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	85669
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/13:86087959
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Macroprudential supervision, Stress test, Individual bank data, Eastern Europe (en)
http://linked.open.../riv/klicoveSlovo	Individual bank data Macroprudential supervision Eastern Europe Stress test
http://linked.open...odStatuVydavatele	US - Spojené státy americké
http://linked.open...ontrolniKodProRIV	[7AB291FDD52A]
http://linked.open...i/riv/nazevZdroje	Journal of Financial Stability
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Procyclicality of financial markets, asset price bubbles and macroprudential regulation
http://linked.open...UplatneniVysledku	2013
http://linked.open...v/svazekPeriodika	9
http://linked.open...iv/tvurceVysledku	Melecký, Martin Buncic, Daniel
http://linked.open...ain/vavai/riv/wos	000324042400009
issn	1572-3089
number of pages	24 (xsd:int)
http://bibframe.org/vocab/doi	10.1016/j.jfs.2012.11.003
http://localhost/t...ganizacniJednotka	27510

Faceted Search & Find service v1.16.118 as of Jun 21 2024

Alternative Linked Data Documents: ODE Content Formats:

RDF

ODATA

Microdata

About

OpenLink Virtuoso version 07.20.3240 as of Jun 21 2024, on Linux (x86_64-pc-linux-gnu), Single-Server Edition (126 GB total memory, 58 GB memory in use)
Data on this page belongs to its respective rights holders.
Virtuoso Faceted Browser Copyright © 2009-2024 OpenLink Software