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Macro Stress Testing on Credit Risk. Of banking sectors in PIIGS countries
В наличии
Местонахождение: Алматы | Состояние экземпляра: новый |
Бумажная
версия
версия
Автор: Igor Vukic
ISBN: 9783659745591
Год издания: 2015
Формат книги: 60×90/16 (145×215 мм)
Количество страниц: 76
Издательство: LAP LAMBERT Academic Publishing
Цена: 23777 тг
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Аннотация: 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.
Ключевые слова: Bank, Credit risk, Macro stress testing, PIIGS
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