Macro-Financial Linkages and Heterogeneous Non-Performing Loans Projections

An Application to Ecuador

Macro-Financial Linkages and Heterogeneous Non-Performing Loans Projections
We propose a stress testing framework of credit risk, which analyzes macro-financial linkages, generates consistent forecasts of macro-financial variables, and projects NPL on the basis of such forecasts. Economic contractions are generally associated with increases in non-performing loans (NPL). However, despite the common assumption used in... READ MORE...

Publication date: December 2016
ISBN 9781475559347
$18.00

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