A framework for macro stress testing the credit risk of banks in Hong Kong
نویسندگان
چکیده
The results show that even for the Value-at-Risk at the confidence level of 90%, banks would continue to make a profit in most of the stressed scenarios, suggesting that the current credit risk of the banking sector is moderate. In extreme cases of the VaR at the confidence level of 99%, some banks could incur material losses. However, the probability of such events is extremely low. by Jim Wong, Ka-fai Choi, and Tom Fong of the Research Department
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