Macro stress testing with a macroeconomic credit risk model for Finland

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dc.contributor Suomen Pankki Virolainen, Kimmo 2014-09-22T07:58:30Z 2014-09-22T07:58:30Z 2003
dc.identifier.isbn 952-462-154-1
dc.identifier.issn 0785-3572
dc.description.abstract In the discussion paper, we employ data on industry-specific corporate sector bankruptcies over the time period from 1986 to 2003 and estimate a macroeconomic credit risk model for the Finnish corporate sector.The sample period includes a severe recession with significantly higher-than-average default rates in the early 1990s.The results suggest a significant relationship between corporate sector default rates and key macroeconomic factors including GDP, interest rates and corporate indebtedness.The estimated model is employed to analyse corporate credit risks conditional on current macroeconomic conditions.Furthermore, the paper presents some examples of applying the model to macro stress testing, ie analysing the effects of various adverse macroeconomic events on the banks credit risks stemming from the corporate sector.The results of the stress tests suggest that Finnish corporate sector credit risks are fairly limited in the current macroeconomic environment. Key words: banking, credit risk, stress tests JEL classification numbers: C15, G21, G28, G33
dc.format.extent 44 s.
dc.language.iso eng
dc.relation.ispartofseries Bank of Finland Research Discussion Papers
dc.subject Suomi
dc.subject makrotalous
dc.subject stressitestaus
dc.subject riskit
dc.subject luotot
dc.subject yritykset
dc.subject mallit
dc.subject kansantaloustiede
dc.subject SP
dc.subject RP
dc.subject RM
dc.title Macro stress testing with a macroeconomic credit risk model for Finland
dc.type Sarjajulkaisu
dc.identifier.urn URN:NBN:fi:bof-20140807436
dc.subject.jel C15
dc.subject.jel G21
dc.subject.jel G28
dc.subject.jel G33 Suomen Pankin keskustelualoitteita Bank of Finland. Discussion papers
dc.series.year 2004
dc.series.number 18/2004
dc.series.sortingnumber 18 11.10.2004
dc.contributor.orgunit Research Department

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