A Model for Stress Testing Household Lending in Australia

Tom Bilston and David Rodgers
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Tom Bilston: Reserve Bank of Australia
David Rodgers: Reserve Bank of Australia

RBA Bulletin (Print copy discontinued), 2013, 27-38

Abstract: Stress testing can be a useful tool for authorities to assess the resilience of their banking systems to various shocks, including those that result in more borrowers being unable to repay their debts. This article outlines a model that simulates household loan defaults and losses using data from a survey of Australian households. The model generates plausible results in response to shocks to interest rates, the unemployment rate and asset prices. It also provides a useful starting point for the Bank’s development of a more holistic stress-testing framework for the Australian banking system.

Keywords: Stress test; Household stress; Household resilience; Micro-simulation; Micro simulation; Simulation; Monte Carlo; Microdata; Micro data; HILDA; HILDA Survey; Australia; Australian; Household lending; Household loans (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:rba:rbabul:dec2013-04

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