Financial stress testing in US banking sector. (2021)

• Record Type: Journal Article
• Authors: Geetha, K.; Maria Suganthi, L.; Vasanthi, K.; Kavitha, B.
• Is Part Of: Materials today. Volume 37(2021)Supplement Part 2
• Page Start: 2252
• Page End: 2255
• Publication Date: 2021
• Subjects: Probability of default -- Beta -- Volatility -- Return on assets -- Financial stress; Materials science -- Congresses -- Periodicals; 620.1
• DOI: 10.1016/j.matpr.2020.07.700
• Languages: English
• ISSNs: 2214-7853

Abstract

Abstract: This paper focuses on measuring the financial stress in US banking sector through internal and external financial variables. For this purpose, probability of default which is considered to be the most crucial variable for measuring the financial stress has been ascertained through a model developed by Zuzana Fungacova and Petr Jakubik. We have also combined all the variables into a single stress index which will depict the stress level in the US banking sector. It was found that the stress level was the highest in 2008 which was the year of subprime crisis in USA which also justifies that the stress variables and the index will be useful in predicting financial crisis in coming years.