Identifying Threshold Effects in Credit Risk Stress Testing

Identifying Threshold Effects in Credit Risk Stress Testing
Using data from Argentina, Australia, Colombia, El Salvador, Peru, and the United States, we identify three types of threshold effects when assessing the impact of economic activity on nonperforming loans (NPLs). For advanced financial systems showing low NPLs, there is an embedded self-correcting adjustment when NPLs exceed a minimum threshold.... READ MORE...

Publication date: August 2004
ISBN 9781451856996
$15.00

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