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Serwa Dobromił (Warsaw School of Economics, Poland)
Using nonperforming loan ratios to compute loan default rates with evidence from european banking sectors
Econometric Research in Finance, 2016, vol. 1, nr 1, s. 47-65, tab., wykr., bibliogr. 14 poz.
Słowa kluczowe
Sektor bankowy, Strategia banku
Banking sector, Banking strategy
JEL clasiffication: C15, C22, G21, G31
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)
Dostępne w
Biblioteka SGH im. Profesora Andrzeja Grodka
Pełny tekst
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