Rakotonirainy, Miora; Razafindravonona, Jean; … - In: Journal of central banking theory and practice 9 (2020) 2, pp. 199-218
This study proposes to assess the vulnerability of banking sector’s credit portfolio under macroeconomic shocks and to … evaluate its impact on banking system capitalization. Our method uses the Global Vector Autoregressive (GVAR) Model to generate … requirement for the banking system level. This article attempts to fill the lacks concerning the stress testing works about …