Credit risk management through stress testing during the Covid-19 crisis: case of Banque Exterieure d’Algerie
This article examines the impact of stress tests on the financial stability of BEA-Banque, with the primary objective of assessing the bank’s resilience to macroeconomic and microeconomic shocks. The methodology relies on ordinary least squares (OLS) estimation to establish a long-term relationship...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Institutul de Studii Financiare
2025-05-01
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| Series: | Revista de Studii Financiare |
| Subjects: | |
| Online Access: | https://revista.isfin.ro/wp-content/uploads/2025/01/1.-Benachour-A.-et.pdf |
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| Summary: | This article examines the impact of stress tests on the financial stability of BEA-Banque, with the primary objective of assessing the bank’s resilience to macroeconomic and microeconomic shocks. The methodology relies on ordinary least squares (OLS) estimation to establish a long-term relationship between non-performing loans (NPL) and several macroeconomic variables, including inflation, exchange rates, and gross domestic product (GDP), as well as bank-specific variables such as size, ROA, and total credits. The results show that inflation and exchange rates significantly affect the level of NPLs. An increase in inflation is correlated with a rise in NPLs, while an appreciation of the exchange rate has an inverse impact. In terms of microeconomic indicators, ROA negatively influences NPLs, whereas total credits have a positive effect. The applied stress tests indicate that the quality of BEA-Banque’s loan portfolio deteriorates under extreme scenarios, particularly when inflation rises simultaneously with a depreciation of the currency. Nevertheless, the bank’s solvency ratio remains above the regulatory threshold set by the Central Bank of Algeria (9.5%), attesting to its financial strength. |
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| ISSN: | 2537-3714 2559-1347 |