Front Matter
Author:
Mr. Rodolfo Maino
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and
Mr. Kalin I Tintchev
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https://orcid.org/0000-0001-6603-157X

Front Matter Page

Monetary and Capital Markets Department

Contents

  • I. Introduction

  • II. Credit Risk Stress Testing

    • A. Related Literature

    • B. Theoretical Credit Risk Model

    • C. Empirical Credit Risk Model

    • D. Modeling Banks’ Credit Portfolio Losses in CreditRisk+

    • E. Main Findings

  • III. Systemic Risk Stress Tests

    • A. Systemic Risk Drivers

    • B. Empirical Model

    • C. Systemic Risk Scenarios

    • D. Main Findings

  • IV. Sensitivity Analysis

    • A. Shocks

    • B. Methodology and Assumptions

    • C. Main Findings

  • V. Conclusion

  • References

  • Tables

  • 1. Macro Determinants of Credit Risk

  • 2. Summary Stress Test Results

  • 3. Systemic Risk Scenarios

  • 4. Conditional Value-at-Risk to Capital

  • 5. Distribution of Stress Test Results

  • 6. Liquidity and Z-Score Stress Test Results

  • Figures

  • 1. Macro-Financial Stress Testing Framework

  • 2. Slowdown Scenario: Average Portfolio Loss Distribution

  • 3. Quantile Regression Lines

  • 4. Systemic Risk Scenarios

  • 5. CoVaR Network Structure

  • Boxes

  • 1. CreditRisk+

  • 2. Quantile Regression

  • Appendixes

  • I. Default Risk Modeling in CreditRisk+

  • II. Quantile Regression

  • Collapse
  • Expand
From Stress to Costress: Stress Testing Interconnected Banking Systems
Author:
Mr. Rodolfo Maino
and
Mr. Kalin I Tintchev