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Abstract
In recent years, an increasing number of central banks use macro stress-testing as a
main tool to assess the robustness of the financial system against severe stresses to the
economy, such as deep recessions and sharp rises in interest rates. This paper
describes a framework for macro stress-testing on credit risk currently used at the Bank
of Japan (BOJ). That framework takes account of changes in borrowers'
creditworthiness over the business cycle, thereby enabling us to examine the robustness
of loan portfolios for major banks and regional banks against a severe economic
downturn. The simulation results, taken from the September 2008 issue of the BOJ’s
Financial System Report, show that the framework successfully replicates the
asymmetric responses of credit risk between deep recession and subsequent economic
recovery by using the combination of borrowers' transition between rating classes and
different sensitivity of transition probabilities to economic fluctuations across rating
classes.
Key Words: Macro Stress-Testing, Credit Risk, Transition Matrix, Robustness of
Financial System
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