Macroprudential stress testing of credit risk : a practical approach for policy makers (English)

Drawing on the lessons from the global financial crisis and especially from its impact on the banking systems of Eastern Europe, the paper proposes a new practical approach to macroprudential stress testing. The proposed approach incorporates: (i) macroeconomic stress scenarios generated from both a country specific statistical model and historical cross-country crises experience; (ii) indirect credit risk due to foreign currency exposures of unhedged...

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Author

Buncic,Daniel;

Melecky,Martin;
Document Date
2012/01/01
Document Type
Policy Research Working Paper
Report Number
WPS5936
Volume No
1
Total Volume(s)
1
Country
Europe,
Region
Europe and Central Asia,
Disclosure Date
2012/01/01
Disclosure Status
Disclosed
Doc Name
Macroprudential stress testing of credit risk : a practical approach for policy makers
Keywords
financial and private sector development

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Citation

Buncic,Daniel; Melecky,Martin.

Macroprudential stress testing of credit risk : a practical approach for policy makers (English). Policy Research working paper ; no. WPS 5936 Washington, DC: World Bank. http://documents.worldbank.org/curated/en/994091468251373046

Macroprudential stress testing of credit risk : a practical approach for policy makers (English)

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