?
Stress-testing of retail and corporate segments of Russian credit market
P. 19–34.
Karminsky A. M., Kozlov O.
The objective of the paper is to investigate and compare risk patterns in ret
ail and
corporate segments and assess the potential impact of macroeconomic shocks on loan
quality.
Banks’ monthly financial statements data for the period 2004
–
2012 are used.
Firstly, we develop an indicator to measure institution’s credit risk that reflects variance and
average value of NPL corrected for loan loss reserves. It is used to compare the risk
-
return
patterns of largest state
-
owned banks, and under our framework we
identify how the
strategies of various banks differ in retail and corporate loans,
identifying
‘safest’ and
‘riskiest’ institutions.
Secondly, l
oan growth and credit risk sensitivity to macroeconomic
shocks is analyzed using vector
auto
regression.
M
acroeco
nomic shocks do not significantly
increase NPL growth in corporate segment. However, inflation and investment growth have
considerable impact on NPL growth in retail segment (which is however almost three times
less than the corporate). Based on these find
ings we conclude that there is no reason to
expect rampant rise in corporate loan defaults in response to exceptional sudden changes in
macroeconomic environment in Russia, though further growth of corporate loan segment
increases credit risk, while the op
posite is true about the retail sector.
Language:
English