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Author
Serwa Dobromił (Warsaw School of Economics, Poland)
Title
Using nonperforming loan ratios to compute loan default rates with evidence from european banking sectors
Source
Econometric Research in Finance, 2016, vol. 1, nr 1, s. 47-65, tab., wykr., bibliogr. 14 poz.
Keyword
Sektor bankowy, Strategia banku
Banking sector, Banking strategy
Note
JEL clasiffication: C15, C22, G21, G31
summ.
Abstract
This research is the first attempt to calibrate default rates of loan portfolios using raw data on nonperforming loans and some additional information on the maturity structure of the loan portfolios. We applied a simple model of loan quality, controlling for loan maturities and dynamics of loan supply. Results for nine national aggregate indices of nonperforming housing loans in the Czech Republic, Greece, Ireland, Hungary, Latvia, Poland, Portugal, Romania, and Spain revealed strong differences in the dynamics of calibrated default probabilities between countries. Calibrated default rates were correlated with macroeconomic factors, but the linkages depended on the markets investigated.(original abstract)
Accessibility
The Library of Warsaw School of Economics
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Bibliography
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Cited by
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ISSN
2451-1935
2451-2370
Language
eng
URI / DOI
https://doi.org/10.33119/ERFIN.2016.1.1.3
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