Abstract
This article deals with the issues of econometric modeling of the level of probability of default of the loan portfolio of the banking sector of the Kyrgyz Republic. The article analyzes the international experience in the field of approaches to develop econometric models of credit risk. The au-thors propose a macroeconomic credit risk model that can be used in the stress testing the banking sector of the Kyrgyz Republic.
References
- Podlich, N., Illyasov, D., Tsoy, E., Shaikh, Sh. Methodology of stress test for the Kazakh banking system, IFO Working papers #85 (Institute for Economic Research at the University of Munich). April. 2010.
- Обзор финансовой стабильности России. – М.: ЦБРФ, 2012.
- Technical Note on Stress Testing the Banking Sector on Georgia. FSAP. January. 2015.
- Gersl, A., Jakubik, P., Konecny, T. and Seidler, J. Dynamic Stress Testing: The Framework for Assessing the Resilience of the Banking Sector Used by the Czech National Bank // Czech Jour-nal of Economics and Finance. 2013. Vol. 63.
- Kalirai, H., Scheicher, M. Macroeconomic Stress Testing: Preliminary Evidence for Austria // Financial Stability Report. 2002. No 3.
- Virolainen K. Macro Stress Testing with a Macroeconomic Credit Risk Model for Finland // Bank of Finland Discussion Paper. 2004. Vol. 18.
Abstract
This article deals with the issues of econometric modeling of the level of probability of default of the loan portfolio of the banking sector of the Kyrgyz Republic. The article analyzes the international experience in the field of approaches to develop econometric models of credit risk. The au-thors propose a macroeconomic credit risk model that can be used in the stress testing the banking sector of the Kyrgyz Republic.
References
- Podlich, N., Illyasov, D., Tsoy, E., Shaikh, Sh. Methodology of stress test for the Kazakh banking system, IFO Working papers #85 (Institute for Economic Research at the University of Munich). April. 2010.
- Обзор финансовой стабильности России. – М.: ЦБРФ, 2012.
- Technical Note on Stress Testing the Banking Sector on Georgia. FSAP. January. 2015.
- Gersl, A., Jakubik, P., Konecny, T. and Seidler, J. Dynamic Stress Testing: The Framework for Assessing the Resilience of the Banking Sector Used by the Czech National Bank // Czech Jour-nal of Economics and Finance. 2013. Vol. 63.
- Kalirai, H., Scheicher, M. Macroeconomic Stress Testing: Preliminary Evidence for Austria // Financial Stability Report. 2002. No 3.
- Virolainen K. Macro Stress Testing with a Macroeconomic Credit Risk Model for Finland // Bank of Finland Discussion Paper. 2004. Vol. 18.
Abstract
Данная статья посвящена вопросам эконометрического моделирования уровня вероятно-сти дефолта кредитного портфеля банковского сектора Кыргызской Республики. В статье анализируется международный опыт в области подходов к разработке эконометрических мо-делей кредитного риска. Авторами предлагается макроэкономическая модель кредитного риска, которая может быть использована в стресс-тестировании банковского сектора Кыр-гызской Республики.
Keywords
банковский сектор кредитный риск классифицированные кредиты вероятность дефолта стресс-тестирование
References
- Podlich, N., Illyasov, D., Tsoy, E., Shaikh, Sh. Methodology of stress test for the Kazakh banking system, IFO Working papers #85 (Institute for Economic Research at the University of Munich). April. 2010.
- Обзор финансовой стабильности России. – М.: ЦБРФ, 2012.
- Technical Note on Stress Testing the Banking Sector on Georgia. FSAP. January. 2015.
- Gersl, A., Jakubik, P., Konecny, T. and Seidler, J. Dynamic Stress Testing: The Framework for Assessing the Resilience of the Banking Sector Used by the Czech National Bank // Czech Jour-nal of Economics and Finance. 2013. Vol. 63.
- Kalirai, H., Scheicher, M. Macroeconomic Stress Testing: Preliminary Evidence for Austria // Financial Stability Report. 2002. No 3.
- Virolainen K. Macro Stress Testing with a Macroeconomic Credit Risk Model for Finland // Bank of Finland Discussion Paper. 2004. Vol. 18.
Details
| Primary Language | Russian |
|---|---|
| Journal Section | Research Article |
| Authors | |
| Publication Date | May 1, 2016 |
| Submission Date | January 1, 2016 |
| Published in Issue | Year 2016 Issue: 69 |