Stresstesting Household Debt in Korea

Karasulu, Meral

doi:10.5089/9781451871135.001

Cited by 13 publications

(9 citation statements)

References 6 publications

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“…Each household is assigned a financial margin that is usually the difference between each household's income and estimated minimum expenses. The model also shares many features with the existing models for several countries, such Karasulu (2008) for the Republic of Korea, Albacete and Fessler (2010) for Austria, Sugawara and Zalduendo (2011) for Croatia, Djoudad (2012) for Canada, Galuscák, Hlavác and Jakubík (2014) for the Czech Republic and Bilston and Rodgers (2013) and Bilston, Johnson and Read (2015) for Australia.…”

Section: Introductionmentioning

confidence: 87%

Stress testing the household sector in Mongolia.

Doojav¹,

Bayarjargal²

2018

Asia-Pacific Development Journal

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The present paper contains an outline of a simulation-model for stress testing the household sector in Mongolia. The model uses data from the Household SocioEconomic Survey to assess the financial resilience of the household sector to macroeconomic shocks. The results suggest that the household sector of Mongolia is vulnerable to shocks associated with interest rates, cost of basic consumption, asset prices and unemployment. In particular, impacts of interest and consumer price shocks on household's debt at risk (or expected loan losses) are considerable. Furthermore, it has been found that a substantial increase in household indebtedness has boosted the financial fragility of the household sector. Those results have important policy implications in mitigating the increasing financial fragility of the household sector and risks to financial stability.

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Section: Introductionmentioning

confidence: 87%

Stress testing the household sector in Mongolia.

Doojav¹,

Bayarjargal²

2018

Asia-Pacific Development Journal

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“…Regarding the scope of the analysis, many papers focus on the impact of different economic shocks on households' financial situation, the share of financially vulnerable households or the amount of debt held by these households (e.g. Karasulu, 2008). Other papers extend the analysis to evaluate potential losses in the banking sector (e.g.…”

Section: Literature Reviewmentioning

confidence: 99%

Stress testing household balance sheets in Luxembourg

Giordana

Ziegelmeyer

2020

The Quarterly Review of Economics and Finance

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This paper uses representative individual household data from Luxembourg to evaluate how severe economic conditions could affect bank exposure to the household sector. Information on household income, expenses and liquid assets are used to calculate household-specific probabilities of default (PD), aggregate bank exposure at default (EAD) and aggregate bank loss given default (LGD). The exercise is repeated with scenarios combining severe but plausible shocks to real estate prices, bonds and stocks, household income and interest rates. Compared to the no-shock baseline, the LGD rises by a multiple of eight, reaching 4.2% of total bank exposure to the household sector. The high-stress scenario also generates a relatively high percentage of defaults among socioeconomically disadvantaged households. Our main conclusion is that bank losses appear to be quite sensitive to financial stress, despite three mitigating factors in Luxembourg: indebted households tend to hold liquid assets that can help smooth shocks, household leverage tends to decline rapidly once mortgages have been serviced several years, and loan-to-value ratios at origination appear not to be excessive.

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“…Studies that used the "threshold" approach (the DSTI indicator was mainly used): Dey et al (2008) [14], Karasulu (2008) [15], Djoudad (2011) [16], IMF (2012) [17], ECB (2014) [18], Michelangeli and Pietrunti (2014) [19], Ruiz Arranz (2014) [20]. Studies that used the ''financial spreads" approach: Albacete and Fessler (2010) [ [23].…”

Section: Nature Of the Impactmentioning

confidence: 99%

Influence of financial sustainability of households on default risks of regulated banks

et al. 2020

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The purpose of the article is to assess the financial sustainability of the household sector of the Republic of Kazakhstan and its impact on the real and financial sector in the context of minimizing the credit risks of the regulated banks of the Republic of Kazakhstan. The paper analyzes various points of view on assessing the financial sustainability of the household sector, makes a successful attempt to assess at a macroeconomic level the financial sustainability of households and the drawing potential of households in Kazakhstan using the OECD and IMF methods. The work made a holistic analysis of the financial condition and solvency of households in Kazakhstan, a forecasted VAR-model for assessing the impact of household financial sustainability on the state of the real sector of the economy has been developed; a regression model for assessing the impact of financial stability of households on the financial sector of Kazakhstan has been developed.

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Stresstesting Household Debt in Korea

Cited by 13 publications

References 6 publications

Stress testing the household sector in Mongolia.

Stress testing the household sector in Mongolia.

Stress testing household balance sheets in Luxembourg

Influence of financial sustainability of households on default risks of regulated banks

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