Assessing Korean Households' Credit Risk: Stress Tests with Household Level Data (in Korean)

Young Il Kim () and Joo Hee Yoo ()
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Young Il Kim: Korea Development Institute
Joo Hee Yoo: Korea Development Institute

Economic Analysis (Quarterly), 2013, vol. 19, issue 2, 59-95

Abstract: We assess Korean households' credit risks by employing stress tests. We analyze the impact of household credit risk on the stability of financial institutions and identify vulnerable indebted households by household characteristics based on their resilience to shocks. Financially distressed households are identified by using cash flows and net asset holdings at the household level. Based on these criteria, households at risk, debt at risk, and expected loss rate are computed and utilized as indicators of financial soundness. We examine how these measures are affected under macroeconomic stress scenarios. The result shows that banks are resilient to some extent whereas the non-bank financial institutions are vulnerable to shocks because the borrowers from the non-bank financial institutions tend to have relatively weak cash flows and equity(net asset) buffer. In addition, the credit risks of indebted households are analyzed by household characteristics such as income, age, occupation, and region.

Keywords: Household debt; credit risk; stress test; financial stability; expected loss rate (search for similar items in EconPapers)
JEL-codes: D12 D14 E21 G21 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:bok:journl:v:19:y:2013:i:2:p:59-95

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