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Стресс-тест российской банковской системы : случай роста просроченной задолженности (Stress Test of the Russian Banking System: The Case of an Increase in Overdue Debt)...
Zubarev, Andrey; Shilov, Kirill - 2023
The study presents the results of a stress test of the Russian banking system. The main assumption of this test is an increase in the risk of overdue debts for various categories of loans. The assumptions for the stress test are formulated based on changes in the balance sheets of Russian banks...
Persistent link: https://www.econbiz.de/10014356153
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Determinants of credit risk in the banking system in Sub-Saharan Africa
Mpofu, Trust R.; Nikolaidou, Eftychia - In: Review of development finance 8 (2018) 2, pp. 141-153
This paper investigates the macroeconomic determinants of credit risk in the banking system of 22 Sub-Saharan African economies. We measure credit risk as the ratio of non-performing loans to total gross loans (NPLs) and employ dynamic panel data methods over the period 2000-2016. Using a...
Persistent link: https://www.econbiz.de/10011980001
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Climate stress test of the Hungarian banking system
Bokor, László - 2022
This paper presents the pilot top-down climate stress test of the Hungarian banking system over the 2020-2050 horizon. The focus is on a core indicator of financial soundness, the ratio of non-performing loans. Three scenarios are considered with different grades of compliance with the Paris...
Persistent link: https://www.econbiz.de/10013489715
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Credit Contagion between Financial Systems
Podlich, Natalia - 2012
We examine contagion from a number of financial systems to the German financial system using the information content of CDS prices in a GARCH model. After controlling for common factors which may cause comovement in security prices, we find evidence for contagion from the US and European...
Persistent link: https://www.econbiz.de/10013114093
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Credit Contagion between Financial Systems
Podlich, Natalia - 2016
We examine contagion from a number of financial systems to the German financial system using the information content of CDS prices in a GARCH model. After controlling for common factors which may cause comovement in security prices, we find evidence for contagion from the US and European...
Persistent link: https://www.econbiz.de/10012989220
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Advancements in stress-testing methodologies for financial stability applications
Budnik, Katarzyna; Marques, Aurea Ponte; Ben Hadj, … - 2024
European Central Bank's Financial Stability Committee Working Group on Stress Testing (WGST). Over a four-year period, the WGST …
Persistent link: https://www.econbiz.de/10014530302
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Credit risk determinants in the vulnerable economies of Europe : evidence from the Spanish banking system
Gila-Gourgoura, E.; Nikolaidou, Eftychia - In: International journal of business and economic sciences … 10 (2017) 1, pp. 60-71
from the Central Bank of Spain and from the European Central Bank, the paper employs the ARDL approach to cointegration to … identify the existence of a long or short-run relationship between NPLs and a set of macroeconomic, bank-related and country …-specific indicators. Findings: Findings from the ARDL model indicate that macroeconomic, bank-specific variables and interest rates are …
Persistent link: https://www.econbiz.de/10011649421
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The Negative Feedback Loop between Banks and Sovereigns
Angelini, Paolo - 2014
sovereign risk affects banking risk (and vice versa), presents some new evidence on bank-sovereign links, and discusses policy …
Persistent link: https://www.econbiz.de/10013055983
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The relationship between internal control and credit risk : the case of commercial banks in Vietnam
Nguyen Kim Quoc Trung - In: Cogent business & management 8 (2021) 1, pp. 1-17
This study examines whether the agency problem regarding credit risk is a useful corporate governance mechanism for controlling credit risk. For this purpose, we estimate the impact of internal control and agency problems on credit risk in commercial banks in Vietnam from 2009 to 2018. First, in...
Persistent link: https://www.econbiz.de/10012661269
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The countercyclical capital buffer and the composition of bank lending
Auer, Raphael A.; Matyunina, Alexandra; Ongena, Steven - 2021
Do macroprudential regulations on residential lending influence commercial lending behavior too? To answer this question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential mortgages on which extra capital requirements were...
Persistent link: https://www.econbiz.de/10012643066