Un Modelo Macroeconómico del Riesgo de Crédito en Uruguay

Gabriel Illanes (), Alejandro Pena and Andrés Sosa ()
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Gabriel Illanes: Centro de Matemática, Facultad de Ciencias, Universidad de la República (Uruguay)
Andrés Sosa: Centro de Matemática, Facultad de Ciencias, Universidad de la República (Uruguay)

No 2014002, Documentos de trabajo from Banco Central del Uruguay

Abstract: This paper deals with credit risk in the Uruguayan aggregate economy and therefore correspond to financial stability purposes. To analyze the risk associated with a portfolio of loans a nonlinear parametric model based on Merton's approach is used. "Elasticities" of impact of the relevant macroeconomic factor on credit risk are reported for commercial and households lending, both in local currency and dollars. The coefficients are obtained by the statistical technique of maximum likelihood

Keywords: banking; credit risk; latent factor model; default rate; stress test; bancos; riesgo de crédito; modelo de factor latente; probabilidad de default; análisis de tensión (search for similar items in EconPapers)
JEL-codes: G21 G28 G33 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2014
New Economics Papers: this item is included in nep-rmg
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