The paper develops a comprehensive framework for market risk stress testing in internationally active financial institutions. We begin by defining the scope and type of the stress test and explaining how to select risk factors and the stress time horizon. We then address challenges related to...

Securitisation is growing at a moderate pace in France. With total outstanding securitised assets of EUR 215 billion at mid-2013, France ranks fifth in the euro area. The majority of securitised assets are loans to French residents. Securitisation has facilitated banks’ access to Eurosystem...

The financial crisis prompted closer supervision of securitisation as a mechanism for refinancing the economy. In France the principal underlying assets of securitisations are bank loans and credits to resident households and non-financial companies.

There is a misplaced notion that Risk Management and Business Development are at cross-roads, which is based on the premise that the Business Managers tend to compromise in certain areas of Risk Management in the interest of the business growth. But, in the larger interests of the Risk...

This paper examines the issues of the aggregation and comparison of the credit ratings of various economic agents for risk management purposes in a commercial bank. The empirical results of the study make it possible to increase the assessment of credit risks based on the constructed system of...

By employing Moody’s corporate default and rating transition data spanning the last 90years we explore how much capital banks should hold against their corporate loan portfolios to withstand historical stress scenarios. Specifically, we will focus on the worst case scenario over the...

The aim of this study is to conduct macro stress test of credit risk for the Turkish Banking Industry based on scenario analysis. In this study vector auto regression model is used to determine the interrelations between the macroeconomic variables and develop consistent scenarios spread to two...

We present a macro variable-based empirical model for corporate bank loans’ credit risk. The model captures the well-known positive relationship between probability of default (PD) and loss given default (LGD; i.e., the inverse of recovery) and their counter-cyclical movement with the business...

In order to correctly estimate the unpredictable effects on their transaction portfolios, the banks developed stress testing methods which turned out to be a very important tool in the bank supervision process. Moreover, the supervision authorities started using stress-testing methods for...

The results of stress tests of the Czech banking sector based on credit risk and credit growth models, applied to the household and corporate sector are presented in the paper. The use of these newly developed models enables the stress tests to be linked to the CNB's official quarterly...