Singh, Sanjay <br/><br/>
Macro stress testing of Indian banking system focused on the 
Singh, Sanjay. 
 -  2015 
 - 102 - 108 
<br/><br/> 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.