Macro Stress Testing with a Macroeconomic Credit Risk Model  for Finland

Virolainen, Kimmo

doi:10.2139/ssrn.3018077

Cited by 19 publications

(4 citation statements)

References 5 publications

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“…In the above macro factor income model, the selected macro factors should not only comprehensively reflect the impact of the macro environment, but also have a strong correlation with the logistics banks which are being studied. Through the research of CPV Model, Single Factor Model and GVAR Model, three indicators are selected: inflation rate index (I), GDP index (GDP growth rate), and money supply index (M2 growth rate) [6] .…”

Section: Composition Of Macro Factorsmentioning

confidence: 99%

Study on Credit Risk in Logistics Banking Business

Feng,

Hui

2023

Advances in Social Science, Education and Humanities Research

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The study on the impact of stress testing on banks is carried out in extreme circumstances, which is an important task that banks need to carry out regularly or irregularly after lending. It focuses on the determination of macrofactors in stress testing of logistics banking business. Taking the relevant data of logistics banking business of the commercial banks in China as samples, an empirical analysis of stress testing is conducted in this study. The findings indicate that the growth rate of economic growth (GDP), real estate price and money supply (M2) has a significant impact on credit risk, while the interest rate factor is relatively weak. There are risks from the credit investigation to the post-loan management, and the risk control ability should be strengthened.

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Section: Composition Of Macro Factorsmentioning

confidence: 99%

Study on Credit Risk in Logistics Banking Business

Feng,

Hui

2023

Advances in Social Science, Education and Humanities Research

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“…For example, Kalirai and Scheicher (2002) used the simple linear regression model to explain the change in NPLs level in Austria for during 1990 to 2001. Virolainen (2004), Hue (2015), and Cheng et al (2016) indicated that economic growth is very important factors for the NPLs level. Another factor that explains NPL rate is considered inflation.…”

Section: The Effect Of Double Tax Treaties On Foreign Direct Investme...mentioning

confidence: 99%

Untitled

2019

JAES

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The journal seeks to promote the best papers and researches in management, finance, accounting, marketing, informatics, decision/making theory, mathematical modelling, expert systems, decision system support, and knowledge representation. This topic may include the fields indicated above but are not limited to these.Journal of Applied Economic Sciences be appeals for experienced and junior researchers, who are interested in one or more of the diverse areas covered by the journal. It is currently published quarterly in Spring (30 th March), Summer (30 th June), Fall (30 th September) and Winter (30 th December).

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“…The building of stress test model According to the research of [1][2][3][4][5], the modeling is divided into two parts: one is the credit risk assessment model considering the effect of macroeconomic variables, another part is the estimate of the macroeconomic variables.…”

Section: Organization Of the Textmentioning

confidence: 99%

Empirical Study on the Stress Test of China Development Bank Co Main Businesses’ Credit Risk

2014

AMM

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With the bad loans ratio as evaluation index of China Development Bank Co Main Businesses’ credit risk, this paper will transform the bad loans ratio into comprehensive index with Logit model. Based on the above work, comprehensive index as the dependent variable and macro economic factors will be analyzed with multivariate linear regression.At last, macro pressure test will be carried out by presuming scenario, and the influence of macroeconomic factors fluctuation on the bad loans ratio of China Development Bank Co will be quantitatively analyzed.

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Macro Stress Testing with a Macroeconomic Credit Risk Model for Finland

Cited by 19 publications

References 5 publications

Study on Credit Risk in Logistics Banking Business

Study on Credit Risk in Logistics Banking Business

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Empirical Study on the Stress Test of China Development Bank Co Main Businesses’ Credit Risk

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