This research was supported by the Higher Education Institutional Excellence Program of the Ministry for Innovation and Technology in the framework of the “Financial and Public Services” research project (reference number: NKFIH-1163-10/2019) at Corvinus University of Budapest.
Budapest Stock Exchange Statistics, https://bet.hu/.
Eurostat Statistics, http://ec.europa.eu/eurostat.
Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms.
Swiss National Bank Statistics, https://www.snb.ch/en/.
YahooFinance Statistics, https://finance.yahoo.com/w.
Not for the whole credit portfolio, only for the micro-enterprises segment.
This approach answers the following question: “How much should we stress the yearly migration matrix in order to achieve the identified default rate multiplier at the end of the stress horizon, assuming fixed yearly migration pattern?” Of course, other approaches are also possible. If the stress horizon is shorter e.g., 2 years, then the second year’s multiplier can be used for calibration. Also, if one wants to take into account the dynamics of the default rate forecast, then separate stress parameters can be calibrated for each year and scenario. However, the latter approach releases the assumption of fixed yearly migration matrix, thus implicitly assumes a change of the rating migration patterns over time. These choices depend on the exact question the analyst would like to answer. The presented logic provides a general framework, which can be further tailored during the application.