A macroeconomic credit risk model for stress testing the South African banking sector

Olena Havrylchyk

MPRA Paper from University Library of Munich, Germany

Abstract: In this study a macroeconomic credit risk model for stress testing the South African banking sector was developed. The findings demonstrate that macroeconomic shocks have a large impact on credit losses. However, owing to a high level of current capitalisation, the South African banking sector is resilient to severe economic shocks. At the same time, banks are rather sensitive to changes in real interest rates and property prices due to the high share of mortgages at flexible interest rates in their credit portfolios.

Keywords: macro stress testing; financial stability; credit risk (search for similar items in EconPapers)
JEL-codes: G18 G21 (search for similar items in EconPapers)
Date: 2010-03
New Economics Papers: this item is included in nep-afr, nep-ban and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Related works:
Working Paper: A macroeconomic credit risk model for stress testing the South African banking sector (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:21639

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