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STRESS TESTING OF PROBABILITY OF DEFAULT OF INDIVIDUALS.

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Author(s): Kadeřábek, Petr; Slabý, Aleš; Vodička, Josef
Source:
Prague Economic Papers; 2008, Vol. 17 Issue 4, p340-355, 16p, 5 Graphs
Subject Terms:
DEFAULT (Finance); MACROECONOMICS; ECONOMIC indicators; INCOME; MORTGAGES; LOANS

Additional Information
- Abstract:
  The article introduces a model for stress testing of probability of default of individuals which rests on assumption that the individual defaults if his savings fall below zero. It describes the probability of default as a function of several macroeconomic indicators, such as wages, unemployment and interest rates. It is implied by the model that sensitivity of probability of default to the stress is mainly driven by installment to income ratio and for mortgages also by loan maturity.

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