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Macroeconomic stress testing of a corporate credit portfolio
Dissertation (MSc)--University of Pretoria, 2014.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2014
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| _version_ | 1867613647648325632 |
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| access_status_str | Open Access |
| author2 | Mare, Eben |
| author_browse | Mare, Eben |
| author_facet | Mare, Eben |
| collection | Thesis |
| dc_rights_str_mv | © 2014 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MSc)--University of Pretoria, 2014. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/42690 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:39:28.478Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/42690 Macroeconomic stress testing of a corporate credit portfolio Mare, Eben Sebolai, Tshepiso Framework Basel Internal Ratings Based (IRB) Derive a credit cycle index Credit risk UCTD Macroeconomic stress testing Corporate credit portfolio Dissertation (MSc)--University of Pretoria, 2014. This dissertation proposes stress testing of a bank’s corporate credit portfolio in a Basel Internal Ratings Based (IRB) framework, using publicly available macroeconomic variables. Corporate insolvencies are used to derive a credit cycle index, which is linked to macroeconomic variables through a multiple regression model. Probability of default (PD) and loss given default (LGD) that are conditional on the worst state of the credit cycle are derived from through-the-cycle PDs and LGDs. These are then used as stressed inputs into the Basel regulatory and Economic capital calculation for credit risk. Contrary to the usual expert judgement stress testing approaches, where management apply their subjective view to stress the portfolio, this approach allows macroeconomic variables to guide the severity of selected stress testing scenarios. The result is a robust stress testing framework using Rösch and Scheule (2008) conditional LGD that is correlated to the stressed PD. The downturn LGD used here is an alternative to the widely used Federal Reserve downturn LGD which assumes no correlation between PDs and LGDs. gm2014 Mathematics and Applied Mathematics Unrestricted 2014-11-21T08:37:09Z 2014-11-21T08:37:09Z 2014-09-04 2014 Dissertation Sebolai, TC 2014, Macroeconomic stress testing of a corporate credit portfolio, MSc dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/42690> M14/9/217/gm http://hdl.handle.net/2263/42690 en © 2014 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | Framework Basel Internal Ratings Based (IRB) Derive a credit cycle index Credit risk UCTD Macroeconomic stress testing Corporate credit portfolio Macroeconomic stress testing of a corporate credit portfolio |
| title | Macroeconomic stress testing of a corporate credit portfolio |
| title_full | Macroeconomic stress testing of a corporate credit portfolio |
| title_fullStr | Macroeconomic stress testing of a corporate credit portfolio |
| title_full_unstemmed | Macroeconomic stress testing of a corporate credit portfolio |
| title_short | Macroeconomic stress testing of a corporate credit portfolio |
| title_sort | macroeconomic stress testing of a corporate credit portfolio |
| topic | Framework Basel Internal Ratings Based (IRB) Derive a credit cycle index Credit risk UCTD Macroeconomic stress testing Corporate credit portfolio |
| url | http://hdl.handle.net/2263/42690 |