Identifying Threshold Effects in Credit Risk Stress Testing /
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| Author / Creator: | Méndez Morales, Armando. |
|---|---|
| Imprint: | Washington, D.C. : International Monetary Fund, 2004. |
| Description: | 1 online resource (17 pages) |
| Language: | English |
| Series: | IMF Working Papers, 2227-8885 ; Working Paper No. 04/150 IMF Working Papers ; Working Paper no. 04/150. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12501105 |
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| 100 | 1 | |a Méndez Morales, Armando. | |
| 245 | 1 | 0 | |a Identifying Threshold Effects in Credit Risk Stress Testing / |c Méndez Morales, Armando. |
| 260 | |a Washington, D.C. : |b International Monetary Fund, |c 2004. | ||
| 300 | |a 1 online resource (17 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 490 | 1 | |a IMF Working Papers, |x 2227-8885 ; |v Working Paper No. 04/150 | |
| 500 | |a Available in PDF, ePUB, and Mobi formats on the Internet. | ||
| 520 | 3 | |a 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. | |
| 505 | 0 | |a Contents -- I. INTRODUCTION -- II. IDENTIFYING NPL THRESHOLDS IN THE RELATION BETWEEN CREDIT RISK AND GROWTH -- III. IDENTIFYING GDP GROWTH THRESHOLDS -- IV. CONCLUSIONS -- REFERENCES | |
| 650 | 0 | |a Business cycles |x Econometric models. | |
| 650 | 0 | |a Credit |x Econometric models. | |
| 650 | 0 | |a Risk |x Econometric models. | |
| 650 | 6 | |a Cycles économiques |x Modèles économétriques. | |
| 650 | 6 | |a Crédit |x Modèles économétriques. | |
| 650 | 6 | |a Risque |x Modèles économétriques. | |
| 650 | 7 | |a Business cycles |x Econometric models. |2 fast |0 (OCoLC)fst00842461 | |
| 650 | 7 | |a Credit |x Econometric models. |2 fast |0 (OCoLC)fst00882527 | |
| 650 | 7 | |a Risk |x Econometric models. |2 fast |0 (OCoLC)fst01098121 | |
| 655 | 0 | |a Electronic books. | |
| 655 | 4 | |a Electronic books. | |
| 700 | 1 | |a Méndez Morales, Armando. | |
| 700 | 1 | |a Gasha, Jose Giancarlo. | |
| 710 | 2 | |a International Monetary Fund. |0 http://id.loc.gov/authorities/names/n81052755 | |
| 830 | 0 | |a IMF Working Papers ; |v Working Paper no. 04/150. | |
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