| dc.description.abstract | In this paper, a framework for stress-testing the credit risk of banks to macroeconomic shocks is developed, with the specific case of Vietnam commercial banks. To describe the links between banking credit risk and macroeconomic factors, an auto-regressive (VAR) model is chosen to apply based on the data over the period 2008-2015; after that, the study designs four scenarios to implement the stress testing by scenario forecasting estimated by VAR model. Furthermore, it is also indicated well that the result which performs in long term and worst impact on credit risk is brought by the shocks in CPI to the commercial banks in Vietnam. | en_US |
