Money, finances and credit

The methodical approach to estimation of credit risks on the basis of stress testing

Economic Annals-XXI

Economic Annals-XXI: Volume 125, Issue 1-2(1), Pages: 59-62

Citation information:
Kosova, T., & Pozdnyakov, Ye. (2013). The methodical approach to estimation of credit risks on the basis of stress testing. Economic Annals-XXI, 1-2(1), 59-62. https://ea21journal.world/index.php/ea-v125-16/

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Tetyana Kosova
D.Sc. (Economics),
Professor,
Donetsk National University of Economics and Trade named after Mykhaylo Tugan-Baranovskiy, Ukraine
коsova777@meta.ua

Yevgen Pozdnyakov
PhD Student,
Donetsk National University of Economics and Trade named after Mykhaylo Tugan-Baranovskiy, Ukraine
pozdnyakov.em@gmail.com

The methodical approach to estimation of credit risks on the basis of stress testing

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.

Keywords: Stress Testing; Banks; Credit Risk

JEL Classification: G21; D81; E42; E50

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Received 09.01.2013

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