Az előadás a Látogatóközpontban 14:30 órakor kezdődik, magyar nyelven!
Diszkutánsok:
Öcsi Béla (Nemzetközi Bankárképző Központ Zrt.)
Soczó Csaba (Raiffeisen Bank Zrt.)
Abstract
This paper investigates the main individual driving forces of Hungarian household credit risk and measures the shock absorbing capacity of the banking system to adverse macroeconomic events. The analysis relies on survey evidence conducted by the MNB in January 2007. Our study presents three alternative ways of modeling household credit risk, namely the financial margin, the logit and the neural network approaches, and uses these methods for stress testing. Our results suggest that the main individual factors affecting household credit risk are the disposable income, debt servicing costs, the number of dependants and the employment status of the head of the household. The findings also indicate that the current state of indebtedness is unfavorable from a financial stability point of view as a relatively high share of debt is concentrated in the group of risky households. Risks are somewhat mitigated by the fact that a substantial part of risky debt is comprised of mortgage loans, which are able to provide considerable security for banks in the case of default. Finally, the results show that even if the most extreme stress scenarios happen, the Hungarian banking sector would remain robust.