Inter-portfolio credit risk contagion including macroeconomic and financial factors: A case study for Ecuador

Adriana Uquillas and Ronny Tonato

Economic Analysis and Policy, 2022, vol. 73, issue C, 299-320

Abstract: Daily banking practice suggests that there may be contagion effects between portfolios, a fact that has been explicitly recognized through current regulation. This paper describes a model that distinguishes between delinquency in each portfolio and allows inter-portfolio credit risk contagion, including macroeconomic and financial factors. Also, multivariate scenarios regarding portfolios’ credit risks were simulated.

Keywords: Credit risk; Contagion; Cross risk; Stress testing models; Vector autoregressive models (search for similar items in EconPapers)
JEL-codes: C30 C36 C50 C58 G17 G21 G28 M21 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecanpo:v:73:y:2022:i:c:p:299-320

DOI: 10.1016/j.eap.2021.11.006

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