THE METHODICAL APPROACH TO ESTIMATION OF CREDIT RISKS ON THE BASIS OF STRESS TESTING Cover Image

МЕТОДИЧНИЙ ПІДХІД ДО ОЦІНКИ КРЕДИТНИХ РИЗИКІВ НА ОСНОВІ СТРЕС-ТЕСТУВАННЯ
THE METHODICAL APPROACH TO ESTIMATION OF CREDIT RISKS ON THE BASIS OF STRESS TESTING

Author(s): Tetiana Kosova, Yevgen Pozdnyakov
Subject(s): Economy
Published by: Інститут трансформації суспільства
Keywords: stress testing; banks; credit risk

Summary/Abstract: The methodical approach to an assessment of credit risk is formalized in the article based on integration of quantitative and qualitative criteria, which are estimated on a ball-scale, from a statics and dynamics positions. The scenarios of stress testing of a credit portfolio are defined by the authors, allowing to estimate adequacy of management of a credit portfolio and to define sufficiency of reserves for possible losses compensation

  • Issue Year: 2013
  • Issue No: 01-02
  • Page Range: 59-62
  • Page Count: 4
  • Language: Ukrainian