Approaches to Macroeconomic Stresstesting of Credit Risk on the Example of Bank's Corporate Loan Portfolio

Student: Latifullin Pavel

Supervisor: Sergey Drobin

Faculty: Faculty of World Economy and International Affairs

Educational Programme: World Economy (Master)

Year of Graduation: 2019

This paper examines approaches to macroeconomic stress testing of credit risks. As a portfolio here, all Russian companies in the agricultural sector for 10 years are considered. Stress testing was conducted regarding the probability of default of our companies, calibrated on the NPL, calculated on the basis of the macromodel. Approaches to the formation of stress scenarios using multivariate Monte Carlo simulation are considered. Changes in the adequacy of bank reserves in medium to severe shocks have been obtained.

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