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Un Modelo Macroeconómico del Riesgo de Crédito en Uruguay

Author

Listed:
  • Gabriel Illanes

    (Centro de Matemática, Facultad de Ciencias, Universidad de la República (Uruguay))

  • Alejandro Pena

    (Banco Central del Uruguay)

  • Andrés Sosa

    (Centro de Matemática, Facultad de Ciencias, Universidad de la República (Uruguay))

Abstract

This paper deals with credit risk in the Uruguayan aggregate economy and therefore correspond to financial stability purposes. To analyze the risk associated with a portfolio of loans a nonlinear parametric model based on Merton's approach is used. "Elasticities" of impact of the relevant macroeconomic factor on credit risk are reported for commercial and households lending, both in local currency and dollars. The coefficients are obtained by the statistical technique of maximum likelihood

Suggested Citation

  • Gabriel Illanes & Alejandro Pena & Andrés Sosa, 2014. "Un Modelo Macroeconómico del Riesgo de Crédito en Uruguay," Documentos de trabajo 2014002, Banco Central del Uruguay.
    • Handle: RePEc:bku:doctra:2014002
    as

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    File URL: https://www.bcu.gub.uy/Estadisticas-e-Indicadores/Documentos%20de%20Trabajo/2.2014.pdf
    File Function: First version, 2014
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    References listed on IDEAS

    as
    1. Lucas, Andre & Klaassen, Pieter, 2006. "Discrete versus continuous state switching models for portfolio credit risk," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 23-35, January.
    2. rea cipollini & giuseppe missaglia, 2005. "Business cycle effects on Portfolio Credit Risk: scenario generation through Dynamic Factor analysis," Finance 0502010, University Library of Munich, Germany.
    3. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    4. Petr Jakubik, 2006. "Macroeconomic Credit Risk Model," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2005, chapter 0, pages 84-92, Czech National Bank.
    5. Hamerle, Alfred & Liebig, Thilo & Scheule, Harald, 2004. "Forecasting Credit Portfolio Risk," Discussion Paper Series 2: Banking and Financial Studies 2004,01, Deutsche Bundesbank.
    6. Rösch, Daniel, 2003. "Correlations and Business Cycles of Credit Risk: Evidence from Bankruptcies in Germany," University of Regensburg Working Papers in Business, Economics and Management Information Systems 380, University of Regensburg, Department of Economics.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    banking; credit risk; latent factor model; default rate; stress test;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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