A macroeconomic credit risk model for stress testing the South African banking sector

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)

Abstract

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
• Language: English
• 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

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