Credit risk model for the Estonian banking sector
Rasmus Kattai ()
No wp2010-01, Bank of Estonia Working Papers from Bank of Estonia
This paper gives an overview of the credit risk model that has been developed for the Estonian banking system. The non-performing loans and loan loss provisions of the four largest banks and the rest of the banking sector have been modelled conditional on the underlying economic conditions: economic growth, unemployment, interest rates, in- flation, indebtedness and credit growth. The model highlights the importance of economic growth as the most influential factor behind the soundness of the banking sector in the latest downturn. The expected fall in output volatility will probably decrease the relative importance of output growth and increase the role of interest rates in the future.
Keywords: credit risk; stress testing; financial soundness indicators; Estonian banking sector (search for similar items in EconPapers)
JEL-codes: E32 E37 G17 G21 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fdg, nep-mac and nep-rmg
Date: 2010-02-04, Revised 2010-02-04
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
http://www.eestipank.ee/sites/eestipank.ee/files/p ... ers/2010/_wp_110.pdf (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:eea:boewps:wp2010-01
Ordering information: This working paper can be ordered from
Estonia bld. 13, 15095 Tallinn, ESTONIA
Access Statistics for this paper
More papers in Bank of Estonia Working Papers from Bank of Estonia
Address: Estonia bld. 13, 15095 Tallinn, ESTONIA
Contact information at EDIRC.
Series data maintained by Peeter Luikmel (). This e-mail address is bad, please contact .