Identifying Threshold Effects in Credit Risk Stress Testing / Armando Méndez Morales, Jose Gasha.

Format:

Book

Government document

Author/Creator:

Méndez Morales, Armando.

Contributor:

Gasha, Jose.

Series:

IMF Working Papers; Working Paper ; No. 2004/150

IMF Working Papers

Language:

English

Subjects (All):

Business cycles--Econometric models.

Business cycles.

Credit--Econometric models.

Credit.

Risk--Econometric models.

Risk.

Physical Description:

1 online resource (18 p.)

Place of Publication:

Washington, D.C. : International Monetary Fund, 2004.

Language Note:

English

Summary:

Using data from Argentina, Australia, Colombia, El Salvador, Peru, and the United States, we identify three types of threshold effects when assessing the impact of economic activity on nonperforming loans (NPLs). For advanced financial systems showing low NPLs, there is an embedded self-correcting adjustment when NPLs exceed a minimum threshold. For financial systems in emerging markets in Latin America showing higher NPLs, there is instead a magnifying effect once NPLs cross a (higher) threshold. GDP growth apparently affects NPLs only below a certain threshold, which is consistent with observed lower elasticity of credit risk to changes in economic activity in boom periods.

Contents:

""Contents""; ""I. INTRODUCTION""; ""II. IDENTIFYING NPL THRESHOLDS IN THE RELATION BETWEEN CREDIT RISK AND GROWTH ""; ""III. IDENTIFYING GDP GROWTH THRESHOLDS""; ""IV. CONCLUSIONS""; ""REFERENCES""

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on online resource; title from PDF cover (ebrary, viewed July 6, 2015).

ISBN:

9786613801296

9781462329700

1462329705

9781452715902

1452715904

9781282107946

1282107941

9781451902105

1451902107