The commercial banks in Korea have in recent years conducted stress tests for market risk. They have not, however, done stress tests for credit risk because of the high cost thereof and the lack of long-term financial data. There is now increasing need for regulators and banks to test capital adequacy under stress scenarios since both the volume and rates of delinquency on housing loan have been on the rise.
The stress test model used in this paper is based on APRA's stress test and is a microeconomic model which estimates the housing loan default rates and the losses based on the loan age and loan-to-value ratio. The model does not attempt to forecast any of the macroeconomic factors in the housing loan market, but does show quantitative results of the macroeconomic impact on capital adequacy in the event some stress situation occurs.
The merits of this model are its ease of application and the possible extensions of both the assumptions and the variables used. The model also does not require any sophisticated statistical techniques as do other stress test models.
우리나라 은행산업의 스트레스 테스트를 통한 주택대출의 신용위험관리(Stress test for credit-risk management for housing loan portfolios at commercial banks)
서울 : 한국금융연구원
|Series Title; No||금융조사보고서 / 2005-13|
|Subject Country||South Korea(Asia and Pacific)|
|Subject||Economy < Financial Policy|
|Holding||한국금융연구원; KDI 국제정책대학원|