Macro Stress Testing on Credit Risk - Vukic, Igor
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In this book the author stress tests the banking sectors of the PIIGS countries. He focuses in particular on modeling the credit risk and estimating the impact of changes in macroeconomic variables on the level of capital adequacy. He develops two scenarios - a baseline stress testing scenario and an adverse scenario. The results indicate that under both scenarios, the analyzed banking systems have some capital adequacy issues. He finds that the Portuguese banking sector is facing biggest capitalization problems. Number of undercapitalized banks under the adverse scenario is bigger than in…mehr

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Produktbeschreibung
In this book the author stress tests the banking sectors of the PIIGS countries. He focuses in particular on modeling the credit risk and estimating the impact of changes in macroeconomic variables on the level of capital adequacy. He develops two scenarios - a baseline stress testing scenario and an adverse scenario. The results indicate that under both scenarios, the analyzed banking systems have some capital adequacy issues. He finds that the Portuguese banking sector is facing biggest capitalization problems. Number of undercapitalized banks under the adverse scenario is bigger than in baseline scenario for all the countries. Another finding which is common for all the countries is that large-sized privately owned banks are better capitalized than small and medium-sized ones. Last finding concerns ownership structure where the author found that all the state-owned banks are undercapitalized in both scenarios.
Autorenporträt
Igor Vukic was born on September 29, 1985 in Knin, Croatia and grew up in Banja Luka, Bosnia and Herzegovina. He received the BSc in Banking and Insurance from University of Banja Luka, Bosnia and Herzegovina, in 2011 and the MSc in Economics and Finances from the Institute of Economic Studies, Charles University in Prague, Czech Republic, in 2014.