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The estimation of future loan losses is not only important for financial institutions to effectively control the credit risk of a commercial loan portfolio, but also an essential component in the capital plan submitted for regulatory approval in the annual CCAR and DFAST stress testing. Under the regulatory guidelines, banks must demonstrate in their stress testing methodology that the risk characteristics of a loan portfolio are properly captured at a granular risk-sensitive level to adequately reflect the region and sector effects when incorporating the impact of macroeconomic scenarios. This chapter presents a methodology of estimating the point-in-time (PIT) default probability that can vary according to macroeconomic scenarios and also capture the credit risk at the region and industry sector levels using external rating agency data.
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Basel Committee on Banking Supervision , Credit risk modeling: current practices and applications, April 1999.
Basel Committee on Banking Supervision (Basel III), A Global regulatory framework for more resilient banks and banking systems, December 2010.
Board of Governors of Federal Reserve System, Comprehensive Capital Analysis and Review 2013, November 2012.
Board of Governors of Federal Reserve System, Capital Planning at Large Bank Holding Companies—Supervisory Expectations and Range of Current Practice, August 2013.
- Region and Sector Effects in Stress Testing of Commercial Loan Portfolio
Steven H. Zhu
- Palgrave Macmillan US