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A Macroeconomic Credit Risk Model for Stress Testing the Austrian Credit Portfolio
Company: Financial Stability Report
Year Of Publication: 2002
Month Of Publication: December
Pages: 62-82
Download Count: 1909
View Count: 11391
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 3-30-2004
Publisher: Administrator
Summary
The following stress test model for the Austrian banking sector, which drawson individual loan data, allows for estimating credit risk in the Austrian financial sector using methods banks apply in credit risk management. The underlyingmodel captures credit risk in dependence on macroeconomic variables, suchas GDP growth, inflation and the interest rate level. A dynamic componentreflecting the development of the macroeconomic variables allows for asimulation-based estimation of future default losses and thus of the credit riskof the Austrian credit portfolio. Correlations between individual macroeconomicvariables are modeled explicitly to take account of existing interdependencies(a slowdown in GDP growth, for instance, tends to go hand in hand with a rise in unemployment). This model thus serves as a basis for macroeconomic stress tests aimed at estimating the Austrian banking sectors riskbearing capacity against the examined crisis scenarios.
(The article begins on Page 62 of the document)
Author(s)
Boss, Michael Sign in to follow this author
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