- Autor
- Serwa Dobromił (Warsaw School of Economics, Poland)
- Tytuł
- Using nonperforming loan ratios to compute loan default rates with evidence from european banking sectors
- Źródło
- 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 - Uwagi
- JEL clasiffication: C15, C22, G21, G31
summ. - Abstrakt
- 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 Szkoły Głównej Handlowej w Warszawie
- Pełny tekst
- Pokaż
- Bibliografia
-
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- Mendoza, E. G., Terrones, M. E. (2008). An Anatomy Of Credit Booms: Evidence From Macro Aggregates And Micro Data. NBER Working Papers 14049, National Bureau of Economic Research, Inc.
- Pinto, R. L., Vivan, G. F. A. (2013). Converting the NPL Ratio into a Comparable Long Term Metric. Working Papers Series 309, Central Bank of Brazil, Research Department.
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- Serwa, D. (2013). Measuring Non-Performing Loans During (and After) Credit Booms. "Central European Journal of Economic Modelling and Econometrics", 5(3): 163-183.
- Tornell, A., Westermann, F. (2002). Boom-Bust Cycles in Middle Income Countries: Facts and Explanation. NBER Working Papers 9219, National Bureau of Economic Research, Inc.
- Whalen, G. W. (2010). Are Early Warning Models Still Useful Tools for Bank Supervisors? Economics Working Paper 2010-3, Office of the Comptroller of the Currency, Washington DC.
- Cytowane przez
- ISSN
- 2451-1935
2451-2370 - Język
- eng
- URI / DOI
- https://doi.org/10.33119/ERFIN.2016.1.1.3
