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

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  • Olena Havrylchyk

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.

Suggested Citation

  • Olena Havrylchyk, 2010. "A macroeconomic credit risk model for stress testing the South African banking sector," Working Papers 3579, South African Reserve Bank.
    • Handle: RePEc:rbz:wpaper:3579
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    File URL: http://www.resbank.co.za/content/dam/sarb/publications/working-papers/2010/3579/wp1002.pdf
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    Cited by:

    1. Anilda Bozdo & Ermela Kripa, 2015. "The Impact of Macro-Economic Factors on Non-Performing Loans in Albania," Academic Journal of Interdisciplinary Studies, Richtmann Publishing Ltd, vol. 4, December.
    2. S Zhou & D.D Tewari, 2018. "Political Institutions and Macroeconomic Factors as Determinants of Credit Risk in South Africa," Journal of Economics and Behavioral Studies, AMH International, vol. 10(6), pages 211-221.
    3. Shayanewako Varaidzo Batsirai & Asrat Tsegaye & Yohane Khamfula, 2019. "The Nexus between Macro-Prudential Banking Regulation, Interest Rate Spread and Monetary Policy in South Africa," Journal of Economics and Behavioral Studies, AMH International, vol. 10(6), pages 141-151.
    4. Désiré Avom & Fabien Clive Ntonga Efoua & Etienne Inédit Blaise Tsomb Tsomb, 2025. "Is the CEMAC Banking System Resilient to Macrofinancial Shocks ? [Le système bancaire de la CEMAC est-il résilient aux chocs macro- financiers ?]," Post-Print hal-05057312, HAL.
    5. Dua, Pami & Kapur, Hema, 2018. "Macro stress testing and resilience assessment of Indian banking," Journal of Policy Modeling, Elsevier, vol. 40(2), pages 452-475.
    6. Miora Rakotonirainy & Jean Razafindravonona & Christian Rasolomanana, 2020. "Macro Stress Testing Credit Risk: Case of Madagascar Banking Sector," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(2), pages 199-218.
    7. Petrus Strydom, 2017. "Macro economic cycle effect on mortgage and personal loan default rates," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(6), pages 1-1.
    8. Vasiliki Makri, 2016. "Towards an Investigation of Credit Risk Determinants in Eurozone Countries," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 15(1), pages 27-57, March.
    9. Babo Amadou Ba, 2021. "La résilience des banques africaines face à la crise de la Covid-19 : une étude sur le stress test macroprudentiel des banques de la zone UEMOA," Post-Print hal-04968726, HAL.
    10. David Bholat & Rosa Lastra & Sheri Markose & Andrea Miglionico & Kallol Sen, 2016. "Non-performing loans: regulatory and accounting treatments of assets," Bank of England working papers 594, Bank of England.
    11. Anthony Q. Q. Aboagye & Effa Ahenkora, 2018. "Stress Testing Exposure of Banks to Sectors of the Ghanaian Economy," Journal of African Business, Taylor & Francis Journals, vol. 19(1), pages 27-38, January.
    12. Pami Dua & Hema Kapur, 2017. "Macro Stress Testing of Indian Bank Groups," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 11(4), pages 375-403, November.

    More about this item

    JEL classification:

    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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