Bookcover of Macro Stress Testing on Credit Risk
Booktitle:

Macro Stress Testing on Credit Risk

Of banking sectors in PIIGS countries

LAP LAMBERT Academic Publishing (2015-07-07 )

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ISBN-13:

978-3-659-74559-1

ISBN-10:
3659745596
EAN:
9783659745591
Book language:
English
Blurb/Shorttext:
In this book the author stress tests the banking sectors of the PIIGS countries. He focuses in particular on modeling the credit risk and estimating the impact of changes in macroeconomic variables on the level of capital adequacy. He develops two scenarios - a baseline stress testing scenario and an adverse scenario. The results indicate that under both scenarios, the analyzed banking systems have some capital adequacy issues. He finds that the Portuguese banking sector is facing biggest capitalization problems. Number of undercapitalized banks under the adverse scenario is bigger than in baseline scenario for all the countries. Another finding which is common for all the countries is that large-sized privately owned banks are better capitalized than small and medium-sized ones. Last finding concerns ownership structure where the author found that all the state-owned banks are undercapitalized in both scenarios.
Publishing house:
LAP LAMBERT Academic Publishing
Website:
https://www.lap-publishing.com/
By (author) :
Igor Vukic
Number of pages:
76
Published on:
2015-07-07
Stock:
Available
Category:
Economics
Price:
39.90 €
Keywords:
Bank, Macro stress testing, PIIGS, Credit risk

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