Assessing Credit Risk using Stress Testing

• Main Authors: Lu, Hsing-Yi, 呂欣宜
• Other Authors: Li, Rong-Kwei
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/32525235882890467647

碩士 === 國立交通大學 === 工業工程與管理學系 === 100 === In recent years, the impact of globalization tends to increase rapidly the occurrences of financial crisis. The financial institutions need an effective and efficient management tool to deal with the financial crisis. Value at risk (VaR) is one of the most popular tools for assessing the credit risk of financial institutions. However, the serious losses caused by extreme events, such as The September 11 terrorist attacks, are unpredictable using VaR, but the stress testing can make up the deficit of VaR. Most of researches focus on developing various stress testing models to assess the market risk or investment risk, but very few studies utilized stress testing to evaluate credit risk. This study presents a stress testing model based on the probability of default and the general economic indicators to accurately assess the credit risk. At the first, correlation analysis is used to select the general economic indicators which have high correlation with the default probability. Stepwise regression analysis is then applied to build the stress testing model. Finally, the credit risk is accessed using the stress testing model with various stress scenarios. The effectiveness of the proposed stress testing model is demonstrated using a real case from a Taiwanese financial institution.