Macro stress testing of Indian banking system focused on the Singh, Sanjay.
By: Singh, Sanjay
Material type:
ArticlePublisher: 2015Description: 102 - 108
In:
Economic and Political WeeklySummary: This paper investigates system-wide macro stress testing for credit risk. This paper uses two multivariate regressions, namely, ordinary least square and quantile regression to establish a stochastic relationship between credit quality indicators such as the non-performing advances ratio or the slippage ratio and macro-variables. This paper confirms that a slowdown in the economy along with a firming-up of the interest rate structure is likely to have an adverse impact on the performance of the banking sector in terms of the slippage ratio.
| Item type | Current location | Call number | Vol info | Status | Date due | Barcode |
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Articles
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Ahmedabad (HO) | (Browse shelf) | Vol. 50, Issue. 17 | Available | 020042 |
This paper investigates system-wide macro stress testing for credit risk. This paper uses two multivariate regressions, namely, ordinary least square and quantile regression to establish a stochastic relationship between credit quality indicators such as the non-performing advances ratio or the slippage ratio and macro-variables. This paper confirms that a slowdown in the economy along with a firming-up of the interest rate structure is likely to have an adverse impact on the performance of the banking sector in terms of the slippage ratio.
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