Forecasting the Impact of Macroeconomic Shocks on Bank Capital Adequacy Through Stress Testing

This thesis explores ways to forecast the impact of macroeconomic shocks on commercial bank capital adequacy through stress testing. Based on an analysis of Basel III capital standards, Presidential Decree No. DP-5992, and scholarly literature, it is shown that while minimum capital adequacy ratios are established, macroeconomic shock projections are not substantively linked to dynamic risk-weighted asset migration and countercyclical buffer triggers. A conditional sequence for implementation, the "macroeconomic scenario vector – econometric credit-loss satellite model – forward-looking CAR projection" principle, and five readiness assessment indicators are substantiated.