Global Bank Stress Test-2021-11-08-CEF
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Current Work: Sectorization of Loan Losses, Assessing<br />
Policy Impact<br />
• HH and corporate stress test<br />
GST<br />
model suites involve household<br />
and firm micro data<br />
PDs,<br />
LGDs<br />
PDs,<br />
LGDs<br />
PDs,<br />
LGDs<br />
• Policy counterfactuals can be<br />
modeled<br />
Household<br />
stress test<br />
Corporate<br />
stress test<br />
• Link to GST for banks: scenarioconditional<br />
PDs and LGDs for HHs<br />
and corporates<br />
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