The estimation of credit loss distribution of Iran’ s banking industry using stress test

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

MOSHIRI SAEED; ABDOLSHAH FATEMEH

Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: Journal of Economic Research Year:2018 | Volume:52 | Issue:4 Page(s): 935-962

Download Full-Text

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Persian Verion

View:

798

Download:

Cites:

Information Journal Paper

Title

The estimation of credit loss distribution of Iran’ s banking industry using stress test

Author(s)

MOSHIRI SAEED | ABDOLSHAH FATEMEH | Issue Writer Certificate

Keywords

credit riskQ2

loss distributionQ1

Wilson’s modelQ1

quantile regressionQ1

stress testQ1

Abstract

In this paper, we estimate losses due to credit risk using stress test and calculate the minimum capital requirements under distressed and baseline scenarios. We use quarterly data from 2003: Q1 to 2016: Q2 (50 observations) for Iran’ s banking industry and the economy. In the first step, the default probabilities are estimated using a series of macroeconomic variables. Then, the default probabilities are simulated for one year time horizon using Monte-Carlo method. And finally, by using Loss Given Default (LGD) values and Exposed at Default (EAD) amounts, portfolio loss distribution is calculated. For this purpose, a hypothetical portfolio will be build. EAD for each loans is drawn randomly and uniformly distributed and LGD is given a fixed value. To estimate default probability equation, in addition to the Wilson’ s linear model, quantile regressions are used. The results show that the loss distributions for all scenarios are skewed to the right. The amount of loss in the 50th quantile regression is closed to the Wilson model, but the loss in the 10th and 90th quantile regressions are different. In fact, the Wilson’ s model overestimate the loss of 10% qunatile regression and underestimate the loss of 90% qunatile regression.

Cites

No record.

References

No record.

Cite

APA: Copy

MOSHIRI, SAEED, & ABDOLSHAH, FATEMEH. (2018). The estimation of credit loss distribution of Iran’ s banking industry using stress test. TAHGHIGHAT-E-EGHTESADI, 52(4 ), 935-962. SID. https://sid.ir/paper/11767/en

Vancouver: Copy

MOSHIRI SAEED, ABDOLSHAH FATEMEH. The estimation of credit loss distribution of Iran’ s banking industry using stress test. TAHGHIGHAT-E-EGHTESADI[Internet]. 2018;52(4 ):935-962. Available from: https://sid.ir/paper/11767/en

IEEE: Copy

SAEED MOSHIRI, and FATEMEH ABDOLSHAH, “The estimation of credit loss distribution of Iran’ s banking industry using stress test,” TAHGHIGHAT-E-EGHTESADI, vol. 52, no. 4 , pp. 935–962, 2018, [Online]. Available: https://sid.ir/paper/11767/en

Related Journal Papers