Identifying Threshold Effects in Credit Risk Stress Testing /

Identifying Threshold Effects in Credit Risk Stress Testing /

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Bibliographic Details
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:
Business cycles -- Econometric models.
Credit -- Econometric models.
Risk -- Econometric models.
Business cycles -- Econometric models.
Credit -- Econometric models.
Risk -- Econometric models.
Electronic books.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/12501105
Hidden Bibliographic Details
Other authors / contributors:Méndez Morales, Armando.
Gasha, Jose Giancarlo.
International Monetary Fund.
ISBN:1451902107
9781451902105
9781451902105
Notes:Available in PDF, ePUB, and Mobi formats on the Internet.
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.
Standard no.:10.5089/9781451902105.001

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