Paper Title
Credit Var Valuation and Stress-Testing on Credit Portfolio in a Transition to a Floating Exchange Rate Regime

Abstract
After the rise of several financial and economic crisis that included systemic collapse between the financial sector and worldwide economy, it has been widely agreed upon that the banking system needed and is still in need of control and regular revision of its policies. Normally, a bank must be able to overcome chocks, or at least survive with the least damage. In order to ensure that the entity is able to do so even in extreme events, the regulators impose and recommend respectively the exercise of regulatory stress-tests and specific stress-tests. By doing so, on a micro level (single financial institution), the bank simulates extreme scenarios assimilated to “chocks” in order to test its financial soundness. The final outcome of a successful stress-test is meeting the minimum capital requirement and liquidity as imposed by the regulator (BAM in our case). In this paper, we apply a stress-test in the case of the devaluation of the Moroccan currency, which will during the year 2017 transition into a flexible exchange rate regime, the outcome on the economy and on the bank’s portfolio is still undefined. The stress-test is accompanied by a credit VaR measure in order to compute the potential maximal loss on the credit portfolio of the bank (companies’ loan) Index terms - Value At Risk, Exchange Rate, Stress Test, Risk Management, Portfolio Management