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Macroeconomic Credit Risk Model

In: CNB Financial Stability Report 2005

Author

Listed:
  • Petr Jakubik

Abstract

This article focuses on the macroeconomic default rate model in the Czech economy. The aim is to produce a model allowing us to estimate the expected proportion of bad loans in the total loan portfolio of banks in response to the evolution of key macroeconomic indicators. The proportion of bad loans is one of the inputs to the stress testing model developed by the CNB. It has so far been regarded as a constant parameter estimated from extreme historical events. The new approach enables modelling of the impacts of various macroeconomic shocks on loan portfolio quality and subsequently, in combination with the stress-testing system, on the capital of the entire banking system. Such shocks may be set either expertly on the basis of historical experience or constructed in the form of alternative scenarios linked to the CNB's main macroeconomic forecasting model.

Suggested Citation

  • Petr Jakubik, 2006. "Macroeconomic Credit Risk Model," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2005, chapter 0, pages 84-92, Czech National Bank.
    • Handle: RePEc:cnb:ocpubc:fsr05/2
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    File URL: https://www.cnb.cz/en/financial-stability/thematic-articles-on-financial-stability/
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    Cited by:

    1. Aleš Melecký & Martin Melecký & Monika Šulganová, 2015. "Úvěry v selhání a makroekonomika: modelování systémového kreditního rizika v České republice [Non-Performing Loans and The Macroeconomy: Modeling the Systemic Credit Risk in the Czech Republic]," Politická ekonomie, Prague University of Economics and Business, vol. 2015(8), pages 921-947.
    2. Gabriel Illanes & Alejandro Pena & Andrés Sosa, 2014. "Un Modelo Macroeconómico del Riesgo de Crédito en Uruguay," Documentos de trabajo 2014002, Banco Central del Uruguay.

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