Detail publikace

Stress Testing of Probability of Default of Individuals

Autor:
Typ: IES Working Papers
Rok: 2008
Číslo: 11
ISSN / ISBN:
Publikováno v: IES Working Papers 11/2008
Místo vydání: Prague
Klíčová slova: banking; credit risk; stress testing; probability of default
JEL kódy: G21, E32, E21
Citace: Kadeřábek, P., Slabý A., Vodička J.(2008). “ Stress Testing of Probability of Default of Individuals ” IES Working Paper 11/2008. IES FSV. Charles University.
Abstrakt: This paper introduces a model for stress testing of probability of default of individuals. The model rests on assumption that the individual defaults if his savings fall below zero. The probability of default is then described as a function of several macroeconomic indicators such as wages, unemployment and interest rates. Stress testing is carried out by applying exogenous stress scenarios for development of these indicators. The model implies that sensitivity of probability of default to the stress is mainly driven by Installment to Income Ratio and for mortgages also by loan maturity. Hence Installment to Income ratio is suggested as the appropriate tool to manage credit risk of retail portfolios.
Ke stažení: WP 2008_11_Kaderabek, Slaby, Vodicka

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