مطالب مرتبط با کلیدواژه

stress test


۱.

Stress Testing of Credit Risk in Iran’s Banking System(مقاله علمی وزارت علوم)

کلیدواژه‌ها: Credit risk stress test banking system

حوزه‌های تخصصی:
تعداد بازدید : ۳۲۶ تعداد دانلود : ۱۵۵
Economic crisis imposes extensive losses on banks and credit institutions, thereby increasing their credit risk and dissolution. In fact, the economic conditions of countries are the major cause of financial stress, the destructive effects of which can greatly be reduced by accurate risk management in the banking system. This study aims to examine stress testing in the Iranian banking system by using the data of Iranian banks from 2008 to 2017. The results in the panel VAR framework and Monte Carlo simulation by using macroeconomic variables and credit risk show that the Iranian banking system is mostly affected by the scenarios of long-term shock in the macroeconomic factors of the country. In other words, changes in one period of the variables have a minimum effect on credit risk. However, a three-period horizon of interest rate and the inflation rate has the maximum effect, while economic growth has the minimum effect on the degree of default in Iranian banks.
۲.

Stability of the Correlation Between Book and Market Value at Risk as a Measure of Banks' Information Transparency(مقاله علمی وزارت علوم)

کلیدواژه‌ها: Information Transparency Value at Risk (VaR) Vector Auto-Regressive Model (VAR) Correlation Coefficient stress test

حوزه‌های تخصصی:
تعداد بازدید : ۳۱ تعداد دانلود : ۲۹
One of the main demands of investors (depositors and shareholders) of banks is transparency. However, in addition to the requirements for meeting this demand, measuring how to meet it has become challenging. So far, researchers have proposed different qualitative criteria for transparency. In this study, while introducing the correlation coefficient between book and market value at risk (VaRs) as a criterion of transparency, we seek to examine the stability of this criterion in different economic conditions. For this purpose, first, by using the e-garch model, the value at risk was estimated based on the balance sheet (book) information and also the market information of the banks' shares, then by calculating the correlation coefficients between book and market VaR’s under normal conditions, we predict book and market VaR’s using vector auto-regressive (VAR) models, along with defining three stress scenarios (Mild - Severe - hyper stress). We examined the significance of the difference between the calculated correlation coefficients in the three stress test modes. We thus tested the stability of the correlation coefficient of the defined scenarios. The findings showed that except for the correlation caused by the unemployment rate factor in mild and hyper-stress scenarios, in other cases, no evidence of H0 rejection was found, indicating the stability of the correlation coefficient between book and market VaRs as a measure of transparency.