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Macroeconomic Shocks And Credit Risk Stress Testing: Evidence From The Egyptian Banking Sector, Noha Elgaliy

Theses and Dissertations

Stress tests can satisfy a range of policy objectives and ensure banks are adequately resilient to common economic shocks or specific financial risks. Though the growing body of literature on stress testing, the existing studies have usually focused on developed countries who have relatively stable macroeconomic indicator when compared developing countries. Therefore, this thesis aims to present a macroeconomic credit risk model that explicitly links a set of selected macroeconomic factors including gross domestic product, inflation, lending interest rates and exchange rate to banking non-preforming loans using evidence from the Egyptian banking sector over the time period from 2011 to …