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Macro stress testing of Indian banking system focused on the Singh, Sanjay.

By: Singh, Sanjay

Material type: Article

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.

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Item type	Current location	Call number	Vol info	Status	Date due	Barcode
Articles	Ahmedabad (HO)	(Browse shelf)	Vol. 50, Issue. 17	Available		020042

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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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