This paper documents the link between risk, stability, and access to credit markets in an emerging economy. It presents annual credit loss distributions of Chilean banks for the period 1999-2005, providing the first empirical evidence of the cyclical pattern of expected losses and unexpected losses of bank loan portfolios in emerging countries. The paper provides three main contributions to the debate on bank solvency and access to credit markets. First, it derives nonparametric estimators of expected losses and unexpected losses, free from model error and, in particular, from distributional restrictions. Second, it shows how the distribution of credit losses for portfolios of retail and commercial loans is affected by the lumpiness of bank loans. Finally, it shows that the shape of credit loss distributions helps select appropriate policies to promote broader and sounder access to bank credit for the poor and the unbanked.
Bibliographic Details
| Main Authors: |
Adasme, Osvaldo,
Majnoni, Giovanni,
Uribe, Myriam |
|---|
| Format: | Policy Research Working Paper
biblioteca
|
|---|
| Language: | English
en_US |
|---|
| Published: |
World Bank, Washington, DC
2006-09
|
|---|
| Subjects: | ADVERSE SELECTION,
APPLICATIONS,
ASSET PRICING,
BALANCE OF PAYMENTS,
BANK CAPITAL,
BANK LENDING,
BANK LOANS,
BANK SOLVENCY,
BANK SUPERVISION,
BANKING REGULATION,
BANKING SYSTEM,
BANKING SYSTEMS,
BANKS,
BENCHMARK,
CAPITAL REGULATION,
CAPITAL REQUIREMENT,
CAPITAL REQUIREMENTS,
CENTRAL BANK,
COMMERCIAL BANKS,
COMMERCIAL LOANS,
COMMODITY PRICES,
CREDIT MARKETS,
CREDIT RISK,
CURRENT PRICES,
DEBT,
ECONOMIC GROWTH,
EMERGING MARKETS,
EXTERNALITIES,
FINANCIAL INSTITUTIONS,
FINANCIAL INTERMEDIATION,
FINANCIAL POLICIES,
FINANCIAL REPORTING,
FINANCIAL SERVICES,
FIXED ASSETS,
FORECASTS,
FUTURE RESEARCH,
GDP,
HOUSING,
INCOME,
INCOME DISTRIBUTION,
INCOME GROUPS,
INCOME LEVELS,
INTEREST RATE,
INTEREST RATES,
LABOR COSTS,
LATIN AMERICAN,
LOAN CLASSIFICATION,
LOAN LOSS PROVISIONS,
MACROECONOMIC CONDITIONS,
MORAL HAZARD,
NONPERFORMING LOANS,
PER CAPITA INCOME,
PORTFOLIO,
PORTFOLIOS,
POSITIVE EXTERNALITIES,
PRICING MODELS,
PROFITABILITY,
REAL INTEREST RATE,
RELATIONSHIP LENDING,
RESERVE REQUIREMENTS,
RESERVES,
RISK ASSESSMENT,
RISK EXPOSURE,
RISK EXPOSURES,
RISK FACTORS,
RISK MANAGEMENT,
RISK MANAGERS,
RISK MEASUREMENT,
ROE,
SOLVENCY REQUIREMENTS,
STATEMENT,
SUSTAINABILITY,
TIER 1 CAPITAL,
TRADE BALANCE,
TROUGH,
UNEMPLOYMENT,
UNEMPLOYMENT RATE, |
|---|
| Online Access: | http://documents.worldbank.org/curated/en/2006/09/7036358/access-risk-friends-or-foes-lessons-chile
http://hdl.handle.net/10986/9298
|
|---|
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
|---|
