Estimating the capital required in the field of banking to cover unexpected losses due to credit default using stress test more about estimate

In recent years, the past due and overdue receivables of banks have grown at an unprecedented rate compared to all the facilities granted in the country's banking network which lowers the credit of banks and their financial instability. Macroeconomic variables play an important role in the ability of borrowers to repay their claims. Macroeconomic variables in this study include exchange rate, inflation rate, economic growth rate, growth rate of government debt to banks and unemployment, which have been studied in the period 1385 to 1398. Then, with the help of Wilson linear model and multiple regressions, we obtain the risk value, expected loss and expected loss, and separately calculate the unexpected loss in both ways. First, the amount of loss is calculated based on the baseline scenario, and then by calculating the shock, we calculate a standard deviation of the unexpected loss. The results show that in all scenarios, the expected method of declining value at risk overestimates the required capital. Also in the baseline scenario where no shock has been applied yet the amount of loss in 50% multiple regression is very close to the Wilson model and this is while large values in the 10% and 90% quotas are different from the Wilson model.