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A Macroeconomic Model of Credit Risk in Uruguay

Revista Brasileira de Economia

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Title A Macroeconomic Model of Credit Risk in Uruguay
 
Creator Illanes, Gabriel
Pena, Alejandro
Sosa Rodriguez, Andrés Ricardo; Universidad de la República
 
Subject 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.
 
Publisher Escola de Pós-Graduação em Economia da FGV
 
Contributor —
 
Date 2016-12-26
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Articles
Artigos
 
Format application/pdf
 
Identifier http://bibliotecadigital.fgv.br/ojs/index.php/rbe/article/view/56564
 
Source Revista Brasileira de Economia; v. 70, n. 4 (2016): Out-Dez; 441-455
Revista Brasileira de Economia; v. 70, n. 4 (2016): Out-Dez; 441-455
0034-7140
0034-7140
 
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Relation http://bibliotecadigital.fgv.br/ojs/index.php/rbe/article/view/56564/63365
 
Rights Direitos autorais 2016 Revista Brasileira de Economia