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: | por |
Título da fonte: | Revista Brasileira de Economia (Online) |
Texto Completo: | https://periodicos.fgv.br/rbe/article/view/56564 |
Resumo: | This paper deals with credit risk in the Uruguayan aggregate economy andtherefore correspond to financial stability purposes. To analyze the risk associ-ated with a portfolio of loans a nonlinear parametric model based on Merton’sapproach is used, in which a default event occurs if the returns of the economicagent falls below a certain threshold that depends on macroeconomic variables. The estimated models can help to understand the relationship between creditrisk and macroeconomic indicators. The results obtained can be consideredfor estimating the credit risk module in the stress tests framework of the localbanking system. ”Elasticities” of impact of the relevant macroeconomic factoron credit risk are reported for corporate and households lending, both in localcurrency and dollars. The parameters are obtained by the statistical technique ofMaximum Likelihood, where the function to maximize contains a latent randomfactor that is assumed to have normal distribution. |
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A Macroeconomic Model of Credit Risk in UruguayCredit RiskDefaultStructural ModelsCentral BankingTest StressThis paper deals with credit risk in the Uruguayan aggregate economy andtherefore correspond to financial stability purposes. To analyze the risk associ-ated with a portfolio of loans a nonlinear parametric model based on Merton’sapproach is used, in which a default event occurs if the returns of the economicagent falls below a certain threshold that depends on macroeconomic variables. The estimated models can help to understand the relationship between creditrisk and macroeconomic indicators. The results obtained can be consideredfor estimating the credit risk module in the stress tests framework of the localbanking system. ”Elasticities” of impact of the relevant macroeconomic factoron credit risk are reported for corporate and households lending, both in localcurrency and dollars. The parameters are obtained by the statistical technique ofMaximum Likelihood, where the function to maximize contains a latent randomfactor that is assumed to have normal distribution.EGV EPGE2016-12-28info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArticlesArtigosapplication/pdfhttps://periodicos.fgv.br/rbe/article/view/56564Revista Brasileira de Economia; Vol. 70 No. 4 (2016): Out-Dez; 441-455Revista Brasileira de Economia; v. 70 n. 4 (2016): Out-Dez; 441-4551806-91340034-7140reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGVporhttps://periodicos.fgv.br/rbe/article/view/56564/63365Copyright (c) 2016 Revista Brasileira de Economiainfo:eu-repo/semantics/openAccessIllanes, GabrielPena, AlejandroSosa Rodriguez, Andrés Ricardo2017-01-09T18:52:01Zoai:ojs.periodicos.fgv.br:article/56564Revistahttps://periodicos.fgv.br/rbe/https://periodicos.fgv.br/rbe/oai||rbe@fgv.br1806-91340034-7140opendoar:2024-03-06T13:03:43.236886Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)true |
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 Rodriguez, Andrés Ricardo |
author_role |
author |
author2 |
Pena, Alejandro Sosa Rodriguez, Andrés Ricardo |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Illanes, Gabriel Pena, Alejandro Sosa Rodriguez, Andrés Ricardo |
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 |
This paper deals with credit risk in the Uruguayan aggregate economy andtherefore correspond to financial stability purposes. To analyze the risk associ-ated with a portfolio of loans a nonlinear parametric model based on Merton’sapproach is used, in which a default event occurs if the returns of the economicagent falls below a certain threshold that depends on macroeconomic variables. The estimated models can help to understand the relationship between creditrisk and macroeconomic indicators. The results obtained can be consideredfor estimating the credit risk module in the stress tests framework of the localbanking system. ”Elasticities” of impact of the relevant macroeconomic factoron credit risk are reported for corporate and households lending, both in localcurrency and dollars. The parameters are obtained by the statistical technique ofMaximum Likelihood, where the function to maximize contains a latent randomfactor that is assumed to have normal distribution. |
publishDate |
2016 |
dc.date.none.fl_str_mv |
2016-12-28 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Articles Artigos |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://periodicos.fgv.br/rbe/article/view/56564 |
url |
https://periodicos.fgv.br/rbe/article/view/56564 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://periodicos.fgv.br/rbe/article/view/56564/63365 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2016 Revista Brasileira de Economia info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2016 Revista Brasileira de Economia |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
EGV EPGE |
publisher.none.fl_str_mv |
EGV EPGE |
dc.source.none.fl_str_mv |
Revista Brasileira de Economia; Vol. 70 No. 4 (2016): Out-Dez; 441-455 Revista Brasileira de Economia; v. 70 n. 4 (2016): Out-Dez; 441-455 1806-9134 0034-7140 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_ |
1798943115229265920 |