Stress testing of probability of default of individuals

Autor:	Aleš Slabý, Josef Vodička, Petr Kadeřábek
Rok vydání:	2008
Předmět:	Economics and Econometrics Actuarial science jel:E32 jel:E21 Stress testing (software) Maturity (finance) jel:G21 Credit default swap index Probability of default Loan Default Business Non-performing loan Finance banking credit risk stress testing probability of default Credit risk
Zdroj:	Prague Economic Papers. 17:340-355
ISSN:	2336-730X 1210-0455
DOI:	10.18267/j.pep.336
Popis:	This paper introduces a model for stress testing of probability of default of individuals. The model rests on assumption that the individual defaults if his savings fall below zero. The probability of default is then described as a function of several macroeconomic indicators, such as wages, unemployment and interest rates. Stress testing is carried out by applying exogenous stress scenarios for development of these indicators. The model implies that sensitivity of probability of default to the stress is mainly driven by installment to income ratio and for mortgages also by loan maturity. Hence installment to income ratio is suggested as the appropriate tool to manage credit risk of retail portfolios.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4e32e9401950fb6366210f88179afbd5 https://doi.org/10.18267/j.pep.336 Zobrazit plný text záznamu