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Econometric Model to Estimate Defaults on Payment in the Spanish Financial Sector in Oliver Wyman’s Stress Tests

Applied Finance and Accounting

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Title Econometric Model to Estimate Defaults on Payment in the Spanish Financial Sector in Oliver Wyman’s Stress Tests
 
Creator Climent-Serrano, Salvador
 
Description This work develops an econometric model based on the exogenous economic variables used in Oliver Wyman´s report. In this case the model is used in order to estimate late payments (NPLs) by Spanish credit entities. A model based on variables considered to be optimal to quantify impact on the NPLs is developed by studying the aforementioned variables, modifying them and eliminating any which are superfluous. Furthermore, whether or not the model is optimal for long periods of time is corroborated. This is due to the fact that the scenario in Oliver Wyman´s report from September 2012 (Wyman 2012) is based on 30 years of Spanish economical historical data, as stated in the report itself. The results indicate the variables that have impact on defaults. The increase in housing prices, the Madrid Stock Exchange Index, the Exchange Rate the euro against USD. The Euribor 12 months and the industries Credit to other residents, decreases the delinquency. The NPLs also fell by transfers from riskier assets to SAREB. However, these results are different if the economy is growing or in recession. So the results will not be optimal but the appropriate model is employed.
 
Publisher Redfame publishing
 
Contributor —
 
Date 2016-10-06
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://redfame.com/journal/index.php/afa/article/view/1853
10.11114/afa.v3i1.1853
 
Source Applied Finance and Accounting; Vol 3, No 1 (2017); 24-35
2374-2429
2374-2410
 
Language eng
 
Relation http://redfame.com/journal/index.php/afa/article/view/1853/2372