A macroeconomic credit risk model for stress testing the South African banking sector
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.
|Date of creation:||Mar 2010|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Raghuram G. Rajan & Luigi Zingales, 1996.
"Financial Dependence and Growth,"
NBER Working Papers
5758, National Bureau of Economic Research, Inc.
- Balázs Egert & Dubravko Mihaljek, 2007.
"Determinants of House Prices in Central and Eastern Europe,"
CESifo Working Paper Series
2152, CESifo Group Munich.
- Balazs Egert & Dubravko Mihaljek, 2007. "Determinants of House Prices in Central and Eastern Europe," William Davidson Institute Working Papers Series wp894, William Davidson Institute at the University of Michigan.
- Balazs Egert & Dubravko Mihaljek, 2008. "Determinants of House Prices in Central and Eastern Europe," Working Papers 2008/1, Czech National Bank, Research Department.
- Balázs Égert & Dubravko Mihaljek, 2007. "Determinants of house prices in central and eastern Europe," BIS Working Papers 236, Bank for International Settlements.
- Carmen M. Reinhart & Ioannis Tokatlidis, 2003.
"Financial Liberalisation: The African Experience,"
Journal of African Economies,
Centre for the Study of African Economies (CSAE), vol. 12(Supplemen), pages 53-88, September.
- Reinhart, Carmen & Tokatlidis, Ioannis, 2000. "Financial Liberalization: The African Experience," MPRA Paper 13423, University Library of Munich, Germany.
- Reinhart, Carmen & Tokatlidis, Ioannis, 2005. "Before and After Financial Liberalization," MPRA Paper 6986, University Library of Munich, Germany.
- Kaddour Hadri, 2000.
"Testing for stationarity in heterogeneous panel data,"
Royal Economic Society, vol. 3(2), pages 148-161.
- Tom Doan, "undated". "HADRI: RATS procedure to implement Hadri test for unit roots in panel data," Statistical Software Components RTS00084, Boston College Department of Economics.
- Kaddour Hadri, 1999. "Testing For Stationarity In Heterogeneous Panel Data," Research Papers 1999_04, University of Liverpool Management School.
- Maddala, G S & Wu, Shaowen, 1999. " A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 631-652, Special I.
- Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002.
"Unit root tests in panel data: asymptotic and finite-sample properties,"
Journal of Econometrics,
Elsevier, vol. 108(1), pages 1-24, May.
- Tom Doan, "undated". "LEVINLIN: RATS procedure to perform Levin-Lin-Chu test for unit roots in panel data," Statistical Software Components RTS00242, Boston College Department of Economics.
- Mark Swinburne & StÃ©phanie Marie Stolz & Marina Moretti, 2008. "Stress Testing at the IMF," IMF Working Papers 08/206, International Monetary Fund.
- Dale F. Gray & James P Walsh, 2008. "Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System," IMF Working Papers 08/89, International Monetary Fund.
- Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003.
"Testing for unit roots in heterogeneous panels,"
Journal of Econometrics,
Elsevier, vol. 115(1), pages 53-74, July.
- Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
- Tom Doan, "undated". "IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test," Statistical Software Components RTS00098, Boston College Department of Economics.
- Harvir Kalirai & Martin Scheicher, 2002. "Macroeconomic Stress Testing: Preliminary Evidence for Austria," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 58-74.
- repec:onb:oenbwp:y:2002:i:3:b:3 is not listed on IDEAS
- Mohsin S. Khan & Abdelhak S. Senhadji, 2003. "Financial Development and Economic Growth: A Review and New Evidence," Journal of African Economies, Centre for the Study of African Economies (CSAE), vol. 12(Supplemen), pages 89-110, September.
- Marco Sorge, 2004. "Stress-testing financial systems: an overview of current methodologies," BIS Working Papers 165, Bank for International Settlements.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:21639. 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: (Joachim Winter)
If references are entirely missing, you can add them using this form.