Coverart for item
The Resource Macro-Financial Linkages and Heterogeneous Non-Performing Loans Projections : An Application to Ecuador, Francesco Grigoli

Macro-Financial Linkages and Heterogeneous Non-Performing Loans Projections : An Application to Ecuador, Francesco Grigoli

Label
Macro-Financial Linkages and Heterogeneous Non-Performing Loans Projections : An Application to Ecuador
Title
Macro-Financial Linkages and Heterogeneous Non-Performing Loans Projections
Title remainder
An Application to Ecuador
Statement of responsibility
Francesco Grigoli
Creator
Author
Subject
Genre
Language
eng
Summary
We propose a stress testing framework of credit risk, which analyzes macro-financial linkages, generates consistent forecasts of macro-financial variables, and projects non-performing loans (NPL) on the basis of such forecasts. Economic contractions are generally associated with increases in NPL. However, despite the common assumption used in the empirical literature of homogeneous impact across banks, the strength of this relationship is often bank-specific, and imposing homogeneity may lead to over or underestimating the resilience of the financial system to macroeconomic woes. Our approach accounts for banks' heterogeneous reaction to macro-financial shocks in a dynamic context and potential cross-sectional dependence across banks caused by common shocks. An application to Ecuador suggests that substantial heterogeneity is present and that this should be taken into account when trying to anticipate inflections in the quality of portfolio
Member of
Cataloging source
DcWaIMF
http://bibfra.me/vocab/lite/collectionName
IMF eLibrary
http://library.link/vocab/creatorName
Grigoli, Francesco
Government publication
international or intergovernmental publication
LC call number
K4452.I57
LC item number
G754 2016 ONLINE
Literary form
non fiction
Nature of contents
dictionaries
Series statement
IMF Working Paper
http://library.link/vocab/subjectName
  • Banks
  • Credit Risk
  • Econometric Models
  • Ecuador
  • Stress Testing
Label
Macro-Financial Linkages and Heterogeneous Non-Performing Loans Projections : An Application to Ecuador, Francesco Grigoli
Instantiates
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
imfWPIEA2016236
Dimensions
unknown
Extent
1 online resource (28 pages)
Form of item
online
Isbn
9781475559347
Issn
1018-5941
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781475559347.001
Specific material designation
remote
System control number
(IMF)WPIEA2016236
Label
Macro-Financial Linkages and Heterogeneous Non-Performing Loans Projections : An Application to Ecuador, Francesco Grigoli
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
imfWPIEA2016236
Dimensions
unknown
Extent
1 online resource (28 pages)
Form of item
online
Isbn
9781475559347
Issn
1018-5941
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781475559347.001
Specific material designation
remote
System control number
(IMF)WPIEA2016236

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