A Macroeconomic Model of Credit Risk in Uruguay
In this paper we evaluate credit risk of the economy as a whole, aiming at the study of the financial stability. This analysis uses as proxy the credit granted by the banking system. We use a non-linear parametric model based on Merton's structural framework for the analysis of the risk associated to a loan portfolio. In this model, default occurs when the return of an economic agent falls under certain threshold which depends on different macroeconomic variables. We use this model to assess the credit risk module in stress tests for the local banking system. We also estimate the "elasticities" of credit categories correspondig to corporate credit and consumer credit, both in national currency and american dollars. We obtain the parameters for the model using maximum likelihood, where the likelihood function contains a random latent factor which is assumed to follow a normal distribution.
| Main Authors: | , , |
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| Format: | Digital revista |
| Language: | English |
| Published: |
Fundação Getúlio Vargas
2016
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| Online Access: | http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402016000400441 |
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