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