European Parliament Library

Identifying Threshold Effects in Credit Risk Stress Testing, Armando Méndez Morales, Jose Gasha

Contributor
Abstract
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
Table Of Contents
""Contents""; ""I. INTRODUCTION""; ""II. IDENTIFYING NPL THRESHOLDS IN THE RELATION BETWEEN CREDIT RISK AND GROWTH ""; ""III. IDENTIFYING GDP GROWTH THRESHOLDS""; ""IV. CONCLUSIONS""; ""REFERENCES""
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (18 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781282107946

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