文档介绍：毕业设计(论文)外文参考资料及译文
译文题目:Stress tests of UK banks using a VAR approach
以VAR方法对英国银行的压力测试
学生姓名: 罗国帼学号: 0921404023
专业: 金融学
所在学院: 龙蟠学院
指导教师: 高蓉蓉
职称: 讲师
2011年 3 月 8 日
说明:
要求学生结合毕业设计(论文)课题参阅一篇以上的外文资料,并翻译至少一万印刷符(或译出3千汉字)以上的译文。译文原则上要求打印(如手写,一律用400字方格稿纸书写),连同学校提供的统一封面及英文原文装订,于毕业设计(论文)工作开始后2周内完成,作为成绩考核的一部分。
Stress tests of UK banks using a VAR approach
Contents
Abstract
Summary
1 Introduction
2 Literature review
3 Choice of macroeconomic variables and estimation
4 Data issues
5 Aggregate and sectoral results
6 Robustness checks
7 Variable position
8 Conclusions
Appendix
References
Abstract:     
This paper adopts a new approach to stress testing the UK banking system. We attempt to account for the dynamics between banks’ write-offs and key macroeconomic variables, through conditioning our stress test on the historical correlation between the variables and allowing for feedback effects from credit risk to the macroeconomy. In contrast to most existing empirical stress testing work, this paper uses a direct measure of banks’ fragility – the write-off to loan ratio. We find that both UK banks’ total and corporate write-offs are significantly related to deviations of output from an adverse output shock, total and corporate write-off ratios increase. Mortgage arrears, on the other hand, appear to be mainly dependent on household e gearing. The results suggest that, even if the most extreme economic stress conditions witnessed over the past two decades were
repeated, the UK banking sector should remain robust.
Key words: Macro stress testing;bank fragility,;loan write-offs;VAR analysis
Summary
Stress tests were performed on the resilience of the UK banking system as part of the IMF Financial Sector Assessment Programme (FSAP). These tests revealed that the UK banking system was robust to a number of adverse shocks. Most of these tests were conducted by the large banks themselves,based on scenarios developed from the B