2008年后匈牙利银行业的压力测试

IF 0.7 4区经济学 Q3 ECONOMICS

Acta Oeconomica Pub Date : 2021-09-21 DOI:10.1556/032.2021.00022

Zoltán Pollák, David Popper

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引用次数: 0

摘要

2008年的危机凸显了在银行业务中使用压力测试的重要性。这些压力测试的作用是识别和准确估计市场条件未来可能变化对资本充足率和盈利能力的影响。本文试图展示一种计算应力时间点违约概率（PD）参数的可能方法。所提出的方法包含一个线性自回归分布滞后模型，以确定违约率的logit与相关宏观经济因素之间的联系，并使用迁移矩阵根据预测的违约率计算PD。作者使用匈牙利实际信贷组合数据说明了这种方法的应用。

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Stress tests in Hungarian banking after 2008

The 2008 crisis highlighted the importance of using stress tests in banking practice. The role of these stress tests is to identify and precisely estimate the effect of possible future changes in market conditions on capital adequacy and profitability. This paper seeks to show a possible methodology to calculate the stressed point-in-time probability of default (PD) parameter. The presented approach contains a linear autoregressive distributed lag model to determine the connection between the logit of default rates and the relevant macroeconomic factors, and uses migration matrices to calculate PDs from the forecasted default rates. The authors illustrate the applications of this methodology using the Hungarian real credit portfolio data.

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来源期刊

Acta Oeconomica ECONOMICS-

CiteScore

1.40

自引率

25.00%

发文量

期刊介绍： Acta Oeconomica publishes articles on Eastern European and Hungarian economic transition, theoretical and general issues of the transition process, economic policy, econometrics and mathematical economics. Space is also devoted to international economics, European integration, labour economics, industrial organisation, finance and business economics.Publishes book reviews and advertisements.