MACROECONOMIC MODEL OF STRESS-TESTING BANKS' CREDIT RISK

被引：0
|
作者：
Shulga, N. P.
Belyanko, L. L.
机构：
来源：
FINANCIAL AND CREDIT ACTIVITY-PROBLEMS OF THEORY AND PRACTICE | 2013年 / 1卷 / 14期
关键词：
credit risk; stress testing; macroeconomic indicators; regression model; correlation;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In the article essence is considered macroeconomic stress-testing of credit risk as the instrument, that allows to estimate firmness of the banking system in relation to macroeconomic shocks. A multivariable regressive model is built in obedience to the grounded list of macrofactors which make basis for stress-testing of influence of credit risk on the banking system of Ukraine taking into account current trends of its progress and state of domestic fund market.
引用
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页码：151 / 157
页数：7
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