Macroeconomic Credit Risk Model
In: CNB Financial Stability Report 2005
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.
|This chapter was published in: Petr Jakubik CNB Financial Stability Report 2005, , chapter Thematic Article 2, pages 84-92, 2006.|
|This item is provided by Czech National Bank, Research Department in its series Occasional Publications - Chapters in Edited Volumes with number fsr05/2.|
|Contact details of provider:|| Postal: Na Prikope 28, 115 03 Prague 1|
Phone: 00420 2 2442 1111
Fax: 00420 2 2421 8522
Web page: http://www.cnb.cz/en/research/research_intro/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:cnb:ocpubc:fsr05/2. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jan Babecky)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.