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Stress Testing Credit Risk: A Survey of Authorities Approaches
Company: Banca d'Italia
Company Url: Click here to open
Year Of Publication: 2008
Month Of Publication: December
Pages: 24
Download Count: 197
View Count:
Comment Num: 0
Language: EN
Who Can Read: Free
Date: 2-14-2009
Publisher: Administrator
This paper reviews the quantitative methods developed at selected authorities for stresstesting credit risk, focusing in particular on the methods used to link macroeconomic driversof stress with bank-specific measures of credit risk (macro stress test). Authorities with amandate for financial stability are particularly interested in quantifying the macro-to-microlinkages and have developed specific modeling expertise in this field. Stress testing credit riskis also an essential element of the Basel II Framework. The paper highlights recentdevelopments in macro stress testing and details a number of methodological challenges thatmay be useful for supervisors in their review process of banks’ models as required by BaselII. It also contributes to the on-going macroprudential research efforts to integratemacroeconomic oversight and prudential supervision, for early detection of key vulnerabilitiesand assessment of macro-financial linkages
Foglia, Antonella Sign in to follow this author
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