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A macroeconomic credit risk model for stress testing the South African banking sector

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  • Havrylchyk, Olena

Abstract

In this study a macroeconomic credit risk model for stress testing the South African banking sector was developed. The findings demonstrate that macroeconomic shocks have a large impact on credit losses. However, owing to a high level of current capitalisation, the South African banking sector is resilient to severe economic shocks. At the same time, banks are rather sensitive to changes in real interest rates and property prices due to the high share of mortgages at flexible interest rates in their credit portfolios.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 21639.

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Date of creation: Mar 2010
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Handle: RePEc:pra:mprapa:21639

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Keywords: macro stress testing; financial stability; credit risk;

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