| Description |
1 online resource (28 pages) : illustrations |
| Series |
IMF working paper ; WP/16/236 |
|
IMF working paper ; WP/16/236.
|
| Summary |
We propose a stress testing framework of credit risk, which analyzes macro-financial linkages, generates consistent forecasts of macro-financial variables, and projects NPL on the basis of such forecasts. Economic contractions are generally associated with increases in non-performing loans (NPL). However, despite the common assumption used in the empirical literature of homogenous impact across banks, the strength of this relationship is often bank-specific, and imposing homogeneity may lead to over or underestimating the resilience of the financial system to macroeconomic woes. Our approach accounts for banks' heterogeneous reaction to macro-financial shocks in a dynamic context and potential cross-sectional dependence across banks caused by common shocks. An application to Ecuador suggests that substantial heterogeneity is present and that this should be taken into account when trying to anticipate inflections in the quality of portfolio |
| Notes |
"December 2016." |
|
At head of title: International Monetary Fund, Western Hemisphere Department |
| Bibliography |
Includes bibliographical references (pages 26-28) |
| Notes |
Description based on online resource; title from pdf title page (IMF.org Web site, viewed December 30, 2016) |
| Subject |
Bank loans -- Ecuador
|
|
Credit -- Ecuador
|
|
Economic forecasting -- Ecuador
|
|
Default (Finance) -- Ecuador
|
|
Bank loans
|
|
Credit
|
|
Default (Finance)
|
|
Economic forecasting
|
|
Ecuador
|
| Form |
Electronic book
|
| Author |
Mansilla, Mario, author, (IMF staff)
|
|
Saldias, Martin, author, (IMF staff)
|
|
International Monetary Fund, publisher.
|
|
International Monetary Fund. Western Hemisphere Department, issuing body.
|
| ISBN |
9781475559347 |
|
1475559348 |
|
