آی اس آی پیپر

دانلود رایکان مقاله انگلیسی ISI با موضوع مدل آزمون استرس کلان ریسک اعتباری برای بخش بانکداری برزیل

عنوان فارسی مقاله:

مدل آزمون استرس کلان ریسک اعتباری برای بخش بانکداری برزیل

عنوان انگلیسی مقاله:

A macro stress test model of credit risk for the Brazilian banking sector

دانلود رایگان مقاله ISI با فرمت PDF:

مشاهده توضیحات کامل و خرید ترجمه فارسی با فرمت ورد تایپ شده:

بخشی از مقاله انگلیسی :

2. Literature review

Since the seminal works of Wilson (1997a,b), which present a framework to examine credit risk under distressed macroeco nomic conditions, several papers have applied macro stress test tools to assess the resilience of various banking systems to adverse macroeconomic shocks (Gerlach et al., 2003; Pesola, 2001, 2005; Frøyland and Larsen, 2002; Barnhill et al., 2006; Misina and Tessier, 2007; Berkowitz, 1999; van den End et al., 2006; Hoggarth and Whitley, 2003; Boss et al., 2007; Virolainen, 2004; Sorge, 2004, among others).4 In this literature, the main objective is to gauge the vulnerability of a portfolio (market, credit, or both) to adverse macroeconomic scenarios, or to extreme but plausible events or shocks. The objective of such tests is to make risks more transparent, assessing the potential losses of a given portfolio under abnormal markets. These tools are commonly used by financial institutions as part of their internal models and management systems and to inform decisions regarding risk taking and capital allocation. In addition, these tools have become increasingly more used by financial regulators to evaluate the soundness of the financial systems under their control.