A Macroeconomic Model of Credit Risk in Uruguay
Autor(a) principal: | |
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Data de Publicação: | 2016 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Revista Brasileira de Economia (Online) |
Texto Completo: | http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402016000400441 |
Resumo: | In this paper we evaluate credit risk of the economy as a whole, aiming at the study of the financial stability. This analysis uses as proxy the credit granted by the banking system. We use a non-linear parametric model based on Merton's structural framework for the analysis of the risk associated to a loan portfolio. In this model, default occurs when the return of an economic agent falls under certain threshold which depends on different macroeconomic variables. We use this model to assess the credit risk module in stress tests for the local banking system. We also estimate the "elasticities" of credit categories correspondig to corporate credit and consumer credit, both in national currency and american dollars. We obtain the parameters for the model using maximum likelihood, where the likelihood function contains a random latent factor which is assumed to follow a normal distribution. |
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A Macroeconomic Model of Credit Risk in UruguayCredit RiskDefaultStructural ModelsCentral BankingTest StressIn this paper we evaluate credit risk of the economy as a whole, aiming at the study of the financial stability. This analysis uses as proxy the credit granted by the banking system. We use a non-linear parametric model based on Merton's structural framework for the analysis of the risk associated to a loan portfolio. In this model, default occurs when the return of an economic agent falls under certain threshold which depends on different macroeconomic variables. We use this model to assess the credit risk module in stress tests for the local banking system. We also estimate the "elasticities" of credit categories correspondig to corporate credit and consumer credit, both in national currency and american dollars. We obtain the parameters for the model using maximum likelihood, where the likelihood function contains a random latent factor which is assumed to follow a normal distribution.Fundação Getúlio Vargas2016-12-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402016000400441Revista Brasileira de Economia v.70 n.4 2016reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGV10.5935/0034-7140.20160023info:eu-repo/semantics/openAccessIllanes,GabrielPena,AlejandroSosa,Andréseng2017-01-12T00:00:00Zoai:scielo:S0034-71402016000400441Revistahttp://bibliotecadigital.fgv.br/ojs/index.php/rbe/issue/archivehttps://old.scielo.br/oai/scielo-oai.php||rbe@fgv.br1806-91340034-7140opendoar:2017-01-12T00:00Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)false |
dc.title.none.fl_str_mv |
A Macroeconomic Model of Credit Risk in Uruguay |
title |
A Macroeconomic Model of Credit Risk in Uruguay |
spellingShingle |
A Macroeconomic Model of Credit Risk in Uruguay Illanes,Gabriel Credit Risk Default Structural Models Central Banking Test Stress |
title_short |
A Macroeconomic Model of Credit Risk in Uruguay |
title_full |
A Macroeconomic Model of Credit Risk in Uruguay |
title_fullStr |
A Macroeconomic Model of Credit Risk in Uruguay |
title_full_unstemmed |
A Macroeconomic Model of Credit Risk in Uruguay |
title_sort |
A Macroeconomic Model of Credit Risk in Uruguay |
author |
Illanes,Gabriel |
author_facet |
Illanes,Gabriel Pena,Alejandro Sosa,Andrés |
author_role |
author |
author2 |
Pena,Alejandro Sosa,Andrés |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Illanes,Gabriel Pena,Alejandro Sosa,Andrés |
dc.subject.por.fl_str_mv |
Credit Risk Default Structural Models Central Banking Test Stress |
topic |
Credit Risk Default Structural Models Central Banking Test Stress |
description |
In this paper we evaluate credit risk of the economy as a whole, aiming at the study of the financial stability. This analysis uses as proxy the credit granted by the banking system. We use a non-linear parametric model based on Merton's structural framework for the analysis of the risk associated to a loan portfolio. In this model, default occurs when the return of an economic agent falls under certain threshold which depends on different macroeconomic variables. We use this model to assess the credit risk module in stress tests for the local banking system. We also estimate the "elasticities" of credit categories correspondig to corporate credit and consumer credit, both in national currency and american dollars. We obtain the parameters for the model using maximum likelihood, where the likelihood function contains a random latent factor which is assumed to follow a normal distribution. |
publishDate |
2016 |
dc.date.none.fl_str_mv |
2016-12-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402016000400441 |
url |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402016000400441 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
10.5935/0034-7140.20160023 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
text/html |
dc.publisher.none.fl_str_mv |
Fundação Getúlio Vargas |
publisher.none.fl_str_mv |
Fundação Getúlio Vargas |
dc.source.none.fl_str_mv |
Revista Brasileira de Economia v.70 n.4 2016 reponame:Revista Brasileira de Economia (Online) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Revista Brasileira de Economia (Online) |
collection |
Revista Brasileira de Economia (Online) |
repository.name.fl_str_mv |
Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
||rbe@fgv.br |
_version_ |
1754115905906802688 |