Havrylchyk, Olena (2010): A macroeconomic credit risk model for stress testing the South African banking sector. Published in: South African Reserve Bank Working Paper , Vol. 3, No. 10 (March 2010)
Download (334kB) | Preview
In this study a macroeconomic credit risk model for stress testing the South African banking sector was developed. The findings demonstrate that macroeconomic shocks have a large impact on credit losses. However, owing to a high level of current capitalisation, the South African banking sector is resilient to severe economic shocks. At the same time, banks are rather sensitive to changes in real interest rates and property prices due to the high share of mortgages at flexible interest rates in their credit portfolios.
|Item Type:||MPRA Paper|
|Original Title:||A macroeconomic credit risk model for stress testing the South African banking sector|
|Keywords:||macro stress testing, financial stability, credit risk|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G18 - Government Policy and Regulation
G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
|Depositing User:||Olena Havrylchyk|
|Date Deposited:||29. Mar 2010 09:55|
|Last Modified:||12. Feb 2013 16:01|
Aryeetey, E., 2003. “Recent developments in African financial markets: agenda for future research”. Journal of African Economies 12 (AERC Supplement 2): 111−152.
Boss M., 2002. “A macroeconomic credit risk model for stress testing the Austrian credit portfolio”. OeNB. Financial Stability Report 4: 64−82.
Egert B., and Mihaljek, D. 2007. “Determinants of house prices in Central and Eastern Europe”. BIS Working Paper No. 236.
International Monetary Fund. 2007. “Portugal: financial system stability assessment: technical note; stress testing”. FSSA Country Report
International Monetary Fund, 2008. “South Africa: financial system stability assessment”. FSSA Country Report
Jakubik P. and Schmieder, C. 2008. “Stress testing credit risk: comparison of the Czech Republic and Germany, Financial Stability Institute”. Bank for International Settlements, FSI Award 2008 Winning Paper.
The Geneva Report on the World Economy, 2009. “The Fundamental Principles of Financial Regulation”.
Gray D. and Walsh, J. P. 2008, Factor model for stress-testing with a contingent claims model of the Chilean banking system. IMF Working Paper No. 89.
Hadri, K. 2000. Testing for stationarity in heterogeneous panel data. The Econometrics Journal 3:148−161.
Im, K. S., Pesaran, M. H. and Shin, Y. 2003. “Testing for unit roots in heterogeneous panels”. Journal of Econometrics 115: 53−74.
Kalirai H. and Scheicher, M. 2002. “Macroeconomic stress testing: preliminary evidence for Austria”. OeNB. Financial Stability Report 3: 58−74.
Kao, C. 1999. “Spurious regression and residula-based tests for cointegration in panel data”. Journal of Econometrics 90: 1−44.
Khan, M.S. and Senhadji, A. S. 2003. “Financial development and economic growth: a review and new evidence. Journal of African Economies 12 (AERC Supplement 2): 89−110.
de Larosiere Report, 2009. “The high-level group on financial supervision in the EU”.
Levine, R. 1997. Financial development and growth: views and agenda. Journal of Economic Literature 35: 688−726.
Levin, A., Lin C.-F and Chia-Shang, J. C. 2002. “Unit root tests in panel data: asymptotic and finite sample properties”. Journal of Econometrics 108: 1−24.
Maddala, G.S. and Wu, S. 1999. “A comparative study of unit root tests with panel data and a new simple test”. Oxford Bulletin of Economics and Statistics 61: 631−652.
Moretti M., Stolz, S. and Swinburne, M. 2008. “Stress testing at the IMF”. IMF Working Paper No. 206.
Pedroni, P. 1995. “Panel cointegration: asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis”. manuscript,Bloomington: Department of Economics, Indiana University.
Rajan, R. and Zingales, L. 1998. “Financial dependence and growth”. American Economic Review 88 (3): 559−586.
Reinhart, C M., and Tokatlidis, I. 2003. “Financial liberalisation: The African experience”. Journal of African Economies 12 (AERC Supplement 2): 53−88.
Sorge M., 2004. “Stress-testing financial systems: an overview of current methodologies”. BIS Working Papers No. 165.
The Turner Report, 2009. “A Regulatory Response to the Banking Crisis”.
US Treasury White Paper, 2009. “Financial Regulatory Reform. A new foundation: rebuilding financial supervision and regulation”.