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

Olena Havrylchyk

No 3579, Working Papers from South African Reserve Bank

Abstract: AbstractIn 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.

Date: 2010-01-24
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Working Paper: A macroeconomic credit risk model for stress testing the South African banking sector (2010)
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