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SSRN- Macro Stress Testing with a Macroeconomic Credit Risk Model for Finland.pdf

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SSRN- Macro Stress Testing with a Macroeconomic Credit Risk Model for Finland

BANK OF FINLAND DISCUSSION PAPERS 18 ? 2004 Kimmo Virolainen Research Department 12.10.2004 Macro stress testing with a macroeconomic credit risk model for Finland Suomen Pankin keskustelualoitteita Finlands Banks diskussionsunderlag Suomen Pankki Bank of Finland P.O.Box 160 FIN-00101 HELSINKI Finland + 358 9 010 8311 http://www.bof.fi BANK OF FINLAND DISCUSSION PAPERS 18 ? 2004 Kimmo Virolainen Research Department 12.10.2004 Macro stress testing with a macroeconomic credit risk model for Finland The views expressed are those of the author and do not necessarily reflect the views of the Bank of Finland. I would like to thank Esa Jokivuolle, Tuomas Takalo, Jouko Vilmunen, Matti Virén and other colleagues at the Bank of Finland for useful comments. I would also like to thank participants in the “ECB Financial Stability Workshop” at the ECB, and participants in the “CCBS Expert Forum on stress testing banks” at the Bank of England for very helpful comments and suggestions. All remaining errors are the sole responsibility of the author. I also wish to thank Virpi Andersson for research assistance. Finally, I am grateful to Suomen Asiakastieto Oy for providing me with their data. Suomen Pankin keskustelualoitteita Finlands Banks diskussionsunderlag http://www.bof.fi ISBN 952-462-154-1 ISSN 0785-3572 (print) ISBN 952-462-155-X ISSN 1456-6184 (online) Multiprint Oy Helsinki 2004 3 Macro stress testing with a macroeconomic credit risk model for Finland Bank of Finland Discussion Papers 18/2004 Kimmo Virolainen Research Department Abstract In the discussion paper, we employ data on industry-specific corporate sector bankruptcies over the time period from 1986 to 2003 and estimate a macroeconomic credit risk mode