Showing 1 - 8 of 8
Persistent link: https://www.econbiz.de/10003382098
In this study we develop and demonstrate a powerful and flexible forward-looking portfolio simulation methodology for assessing the correlated impacts of market risk, and private sector, sovereign and inter-bank default risk on both individual banks (i.e. 28 of the largest Brazilian banks) and...
Persistent link: https://www.econbiz.de/10003721590
Persistent link: https://www.econbiz.de/10003904272
Persistent link: https://www.econbiz.de/10009655678
This paper proposes a model to conduct macro stress test of credit risk for the banking system based on scenario analysis. We employ an original bank-level data set that splits bank credit portfolios in 21 granular categories, encompassing household and corporate loans. The results corroborate...
Persistent link: https://www.econbiz.de/10013135507
Persistent link: https://www.econbiz.de/10001562999
Persistent link: https://www.econbiz.de/10001720038
The banking crises of the 1990s emphasize the need to model the connections between volatility and the potential losses faced by financial institutions due to correlated market and credit risks. We present a simulation model that explicitly links changes in the financial environment and the...
Persistent link: https://www.econbiz.de/10014403473