Macro-Stress Testing in Deregulated and Consolidated Regimes: Episode of Nigerian Banks

The study provides a modified credit risk to reveal the relationships between a set of macroeconomic variables and bank risk in Nigeria for 1981 to 2013 using time series data from the various volumes of the CBN Statistic bulletin and the annual financial review of the banks. The results reveal that growth rate, interest rate and monetary policy rate have significant relationships with credit risk while unemployment and money supply maintain zero relationships. However, the strength of these relationships is found to be stronger in the regime of consolidation than deregulation era in Nigeria.